Scaling Limits for the Discretization of the Martingale Representation Theorem
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🧮 math.PR
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discretizationmartingalerepresentationscalingtheorembeenbestderive
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In this note, we derive a large-deviation-type scaling limit for a discretization of the Martingale Representation Theorem. Somewhat surprisingly, and to the best of our knowledge, this result has not been previously obtained in the literature.
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