A new approach to the martingale representation theorem. (English) Zbl 1186.60046
The authors prove the martingale representation theorem for Brownian motion for random variables of the form \(f_1(W_{t_1})\cdots f_n(W_{t_n})\). They also introduce a new stochastic Sobolev space and reformulate the martingale representation theorem in terms of elements from this space.
Reviewer: Nicko G. Gamkrelidze (Moskva)
Keywords:
stochastic integral representation; martingale representation; Sobolev space; stochastic Sobolev spaceReferences:
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