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arXiv · 1611.09214

Constructive martingale representation in functional It\^o calculus: a local martingale extension

Kristoffer Lindensjö
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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. 2016-11-28. Constructive martingale representation in functional It\^o calculus: a local martingale extension. https://doi.org/10.1007/978-3-030-02825-1

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