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)


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.


Functional Itô calculus Martingale representation 



The author is grateful to Mathias Lindholm for helpful discussions.


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Authors and Affiliations

  1. 1.Department of MathematicsStockholm UniversityStockholmSweden

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