Summary
This chapter gives a survey of the theory of square-integrable martingales and the construction of basic sets of orthogonal martingales in terms of which all other martingales may be expressed as stochastic integrals. Specific cases such as Brownian motion, Lévy processes and stochastic jump processes are discussed, as are some applications to mathematical finance.
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Davis, M.H.A. (2005). Martingale Representation and All That. In: Abed, E.H. (eds) Advances in Control, Communication Networks, and Transportation Systems. Systems and Control: Foundations & Applications. Birkhäuser Boston. https://doi.org/10.1007/0-8176-4409-1_4
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DOI: https://doi.org/10.1007/0-8176-4409-1_4
Publisher Name: Birkhäuser Boston
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