Constructive martingale representation in functional Itô calculus: a local martingale extension

Published 28 Nov 2016 in math.PR | (1611.09214v3)

Abstract: The constructive martingale representation theorem of functional It^o calculus is extended, from the space of square integrable martingales, to the space of local martingales. The setting is that of an augmented filtration generated by a Wiener process.

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Kristoffer Lindensjö

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