Year: 2013
Type: preprint
Abstract: In this paper we explore the fundamentals of the Martingale Representation Theorem (MRT) and a closely related result, the Clark-Ocone formula. We also investigate how far these theorems can be taken, notably beyond the regular Sobolev spaces, through changes of measures and enlargement of filtrations. We look at Brownian motion (B.M.) driven continuous martingales as well as Jump and Levy process-driven martingales.
Source: arXiv (Cornell University)
Author: Schneider-Luftman, Deborah
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W1569936060