Semimartingale integral representation

• 成果类型: Article
• 署名作者: Ahn, H
• 署名单位: University of California System; University of California Santa Barbara
• 刊物名称: ANNALS OF PROBABILITY
• ISSN/ISSBN: 0091-1798
• 发表日期: 1997
• 页码: 997-1010
• 关键词: STOCHASTIC DIFFERENTIAL-EQUATIONS

摘要

We provide an integral representation for smooth functionals of continuous semimartingales. The representation is related to an infinite-dimensional nonautonomous parabolic equation. Semimartingale integral representations, including a martingale representation, are given in terms of a solution to this equation.