Integral representation of random variables with respect to Gaussian processes

DOI10.3150/14-BEJ662zbMath1359.60070arXiv1307.7559OpenAlexW2168806851MaRDI QIDQ5963505

Lauri Viitasaari

Publication date: 22 February 2016

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1307.7559

zbMATH Keywords

Gaussian processesintegral representationfinancial mathematicsFöllmer integralgeneralised Lebesgue-Stieltjes integral

Mathematics Subject Classification ID

Gaussian processes (60G15) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic integrals (60H05)

Related Items (3)

Integral representation with respect to fractional Brownian motion under a log-Hölder assumption ⋮ Small ball properties and representation results ⋮ Adapted integral representations of random variables

Cites Work

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• Introduction to stochastic calculus for finance. A new didactic approach.
• On hedging European options in geometric fractional Brownian motion market model
• THE RESTRICTION OF THE FRACTIONAL ITÔ INTEGRAL TO ADAPTED INTEGRANDS IS INJECTIVE

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