Weak approximation of martingale representations

Rama Cont; Yi Lu

doi:10.1016/j.spa.2015.10.002

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arXiv · 1501.00383

Weak approximation of martingale representations

Rama Cont·Yi Lu

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Abstract

We present a systematic method for computing explicit approximations to martingale representations for a large class of Brownian functionals. The approximations are obtained by obtained by computing a directional derivative of the weak Euler scheme and yield a consistent estimator for the integrand in the martingale representation formula for any square-integrable functional of the solution of an SDE with path-dependent coefficients. Explicit convergence rates are derived for functionals which are Lipschitz-continuous in the supremum norm. Our results require neither the Markov property, nor any differentiability conditions on the functional or the coefficients of the stochastic differential equations involved.

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Rama Cont, Yi Lu. 2015-10-26. Weak approximation of martingale representations. https://doi.org/10.1016/j.spa.2015.10.002

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