Martingale Representation Theorem and Chaos Expansion

DOI10.1142/9789812774637_0007zbMath1175.60054OpenAlexW2332348930MaRDI QIDQ5487021

Shinzo Watanabe

Publication date: 18 September 2006

Published in: Stochastic Processes and Applications to Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/9789812774637_0007

zbMATH Keywords

random walkItô's formulaItô's representation theorem

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Martingales with continuous parameter (60G44) Stochastic integrals (60H05)

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