A representation theorem for smooth Brownian martingales

DOI10.1080/17442508.2015.1116537zbMath1352.60062arXiv1401.5502OpenAlexW2260008810MaRDI QIDQ2833694

Sixian Jin, Henry Schellhorn, Qidi Peng

Publication date: 25 November 2016

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1401.5502

zbMATH Keywords

representation theoremMalliavin calculussmooth Brownian martingales

Mathematics Subject Classification ID

Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Brownian motion (60J65) Martingales with continuous parameter (60G44) Stochastic calculus of variations and the Malliavin calculus (60H07)

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Semigroup solution of path-dependent second-order parabolic partial differential equations ⋮ Dyson type formula for pure jump Lévy processes with some applications to finance

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