Representation of random variables as Lebesgue integrals

DOI10.3150/23-bej1656MaRDI QIDQ6565305

Sara Biagini, Gordan Žitković

Publication date: 2 July 2024

Published in: Bernoulli (Search for Journal in Brave)

zbMATH Keywords

random variablesGirsanov theoremquadratic variationLebesgue integralmartingale representationabsolutely continuous representation

Mathematics Subject Classification ID

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

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