Semimartingale integral representation
Ahn, Hyungsok
Ann. Probab., Tome 25 (1997) no. 4, p. 997-1010 / Harvested from Project Euclid
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We provide an integral representation for smooth functionals of continuous semimartingales. The representation is related to an infinite-dimensional nonautonomous parabolic equation. Semimartingale integral representations, including a martingale representation, are given in terms of a solution to this equation.
Publié le : 1997-04-14
Classification:  Martingale representation,  semimartingale integral representation,  60G44,  60H05,  60H30 
@article{1024404427,
     author = {Ahn, Hyungsok},
     title = {Semimartingale integral representation},
     journal = {Ann. Probab.},
     volume = {25},
     number = {4},
     year = {1997},
     pages = { 997-1010},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1024404427}
}

Ahn, Hyungsok. Semimartingale integral representation. Ann. Probab., Tome 25 (1997) no. 4, pp.  997-1010. http://gdmltest.u-ga.fr/item/1024404427/