Weak approximation of martingale representations

DOI10.1016/j.spa.2015.10.002zbMath1336.60109arXiv1501.00383OpenAlexW1762184644MaRDI QIDQ5962610

Yi Lu, Rama Cont

Publication date: 15 February 2016

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1501.00383

zbMATH Keywords

Malliavin calculussemimartingalesstochastic differential equationsClark-Ocone formulaEuler approximationfunctional Itô calculusmartingale representations

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Generalizations of martingales (60G48) Martingales with continuous parameter (60G44) Stochastic calculus of variations and the Malliavin calculus (60H07) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

Related Items (9)

Pathwise integration with respect to paths of finite quadratic variation ⋮ Limit behaviour of the minimal solution of a BSDE with singular terminal condition in the non Markovian setting ⋮ Unbiased Deep Solvers for Linear Parametric PDEs ⋮ Wong-Zakai approximations for stochastic differential equations with path-dependent coefficients ⋮ On pathwise quadratic variation for càdlàg functions ⋮ Weak differentiability of Wiener functionals and occupation times ⋮ Poisson discretizations of Wiener functionals and Malliavin operators with Wasserstein estimates ⋮ Stability and Analytic Expansions of Local Solutions of Systems of Quadratic BSDEs with Applications to a Price Impact Model ⋮ On the support of solutions to stochastic differential equations with path-dependent coefficients

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Weak approximations for Wiener functionals
• Discretization and simulation of stochastic differential equations
• A functional extension of the Ito formula
• Change of variable formulas for non-anticipative functionals on path space
• A short proof of a martingale representation result
• Numerical probability. An introduction with applications to finance
• Computation of Greeks for barrier and look-back options using Malliavin calculus
• Explicit form and robustness of martingale representations.
• Functional Itō calculus and stochastic integral representation of martingales
• Applications of Malliavin calculus to Monte Carlo methods in finance
• Malliavin Greeks without Malliavin calculus
• Malliavin Monte Carlo Greeks for jump diffusions
• Malliavin's calculus and stochastic integral representations of functional of diffusion processes^†
• A new approach to the martingale representation theorem
• Functionals of diffusion processes as stochastic integrals
• On the integral representation of functionals of ltd processest
• A generalized formula of Ito and some other properties of stochastic flows
• An extension of clark' formula
• Efficient Computation of Hedging Portfolios for Options with Discontinuous Payoffs
• Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations
• Discrete Sampling of Functionals of Ito Processes
• The Representation of Functionals of Brownian Motion by Stochastic Integrals
• Applications of Malliavin calculus to Monte-Carlo methods in finance. II

This page was built for publication: Weak approximation of martingale representations