Approximation of the Basic Martingale
نویسندگان
چکیده
منابع مشابه
Weak approximation of martingale representations
We present a systematic method for computing explicit approximations to martingale representations for a large class of Brownian functionals. The approximations are based on a notion of pathwise functional derivative and yield a consistent estimator for the integrand in the martingale representation formula for any square-integrable functional of the solution of an SDE with path-dependent coeff...
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ژورنال
عنوان ژورنال: The Annals of Statistics
سال: 1994
ISSN: 0090-5364
DOI: 10.1214/aos/1176325485