历史鞅的弱函数表示

IF 0.5 4区数学 Q4 STATISTICS & PROBABILITY

Electronic Communications in Probability Pub Date : 2022-01-01 DOI:10.1214/22-ecp492

C. Mandler, L. Overbeck

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引用次数: 0

摘要

导出了Dupire导数的一个弱扩展，它是与历史布朗运动相关的鞅测度的积分的伴随算子，这是测度值过程的一个基准例子。此扩展产生历史函数的鞅表示的显式形式，我们将其与[7]中导出的历史函数表示的经典结果进行比较。

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The weak functional representation of historical martingales

A weak extension of the Dupire derivative is derived, which turns out to be the adjoint operator of the integral with respect to the martingale measure associated with the historical Brownian motion a benchmark example of a measure valued process. This extension yields the explicit form of the martingale representation of historical functionals, which we compare to a classical result on the representation of historical functionals derived in [7].

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来源期刊

Electronic Communications in Probability 工程技术-统计学与概率论

CiteScore

1.00

自引率

0.00%

发文量

审稿时长

6-12 weeks

期刊介绍： The Electronic Communications in Probability (ECP) publishes short research articles in probability theory. Its sister journal, the Electronic Journal of Probability (EJP), publishes full-length articles in probability theory. Short papers, those less than 12 pages, should be submitted to ECP first. EJP and ECP share the same editorial board, but with different Editors in Chief.