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Constructive Martingale Representation in Functional Itô Calculus: A Local Martingale Extension

  • Kristoffer Lindensjö
Conference paper
Part of the Springer Proceedings in Mathematics & Statistics book series (PROMS, volume 271)

Abstract

The constructive martingale representation theorem of functional Itô 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.

Keywords

Functional Itô calculus Martingale representation 

Notes

Acknowledgements

The author is grateful to Mathias Lindholm for helpful discussions.

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Copyright information

© Springer Nature Switzerland AG 2018

Authors and Affiliations

  1. 1.Department of MathematicsStockholm UniversityStockholmSweden

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