Xing-Xiong Xue
Abstract
Suppose that X 1and X 1 are independent semimartingales and both filtrations and have the martingale representation property, then the filtration also has the martingale representation property, where X is a new semimartingale with X 1 and X 1 as its components
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Suppose that X 1and X 1 are independent semimartingales and both filtrations and have the martingale representation property, then the filtration also has the martingale representation property, where X is a new semimartingale with X 1 and X 1 as its components
Key concepts: Semimartingale, Mathematics, Martingale representation theorem, Martingale (probability theory), Local martingale, Doob's martingale inequality, Martingale difference sequence, Representation theorem