On the Martingale Representation with Respect to the super-Brownian Filtration

Christian Mandler; Ludger Overbeck

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arXiv · 2104.13653

On the Martingale Representation with Respect to the super-Brownian Filtration

Christian Mandler·Ludger Overbeck

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Abstract

We derive the explicit form of the martingale representation for square-integrable processes that are martingales with respect to the natural filtration of the super-Brownian motion. This is done by using a weak extension of the Dupire derivative for functionals of superprocesses.

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Christian Mandler, Ludger Overbeck. 2021-04-28. On the Martingale Representation with Respect to the super-Brownian Filtration. https://arxiv.org/abs/2104.13653

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