Constructive martingale representation in functional It\^o calculus: a local martingale extension
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🧮 math.PR
keywords
martingalecalculusconstructivefunctionallocalmartingalesrepresentationspace
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The constructive martingale representation theorem of functional It\^o 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.
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