- Abstract:
-
In this paper we explain that the natural filtration of a continuous Hunt process is continuous, and show that martingales over such a filtration are continuous. We further establish a martingale representation theorem for a class of continuous Hunt processes under certain technical conditions. In particular we establish the martingale representation theorem for the martingale parts of (reflecting) symmetric diffusions in a bounded domain with a continuous boundary. Together with an approach ...
Expand abstract - Publisher copy:
- 10.1007/978-3-642-27461-9_4
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- Journal:
- Lecture Notes in Mathematics
- Volume:
- 2046
- Pages:
- 75-103
- Publication date:
- 2009-10-26
- DOI:
- ISSN:
-
0075-8434
- URN:
-
uuid:f2eb52f3-9bc0-49dc-b989-a8a3b5cbae6c
- Source identifiers:
-
340104
- Local pid:
- pubs:340104
- Language:
- English
- Keywords:
- Copyright date:
- 2009
- Notes:
- 28 pages
Journal article
Martingale representations for diffusion processes and backward stochastic differential equations
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