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The Martingale Representation Theorem and Clark-Ocone formula
Published 24 Jun 2013 in math.PR | (1306.5692v1)
Abstract: In this paper we explore the fundamentals of the Martingale Representation Theorem (MRT) and a closely related result, the Clark-Ocone formula. We also investigate how far these theorems can be taken, notably beyond the regular Sobolev spaces, through changes of measures and enlargement of filtrations. We look at Brownian motion (B.M.) driven continuous martingales as well as Jump and Levy process-driven martingales.
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