Christian Mandler, Ludger Overbeck
Abstract
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We derive the explicit form of the martingale representation for square-integrable processes that are martingales with respect to the natural filtration of the super-Brownian motion. This is done by using a weak extension of the Dupire derivative for functionals of superprocesses.
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We derive the explicit form of the martingale representation for square-integrable processes that are martingales with respect to the natural filtration of the super-Brownian motion. This is done by using a weak extension of the Dupire derivative for functionals of superprocesses.
Key concepts: Martingale (probability theory), Brownian motion, Martingale representation theorem, Mathematics, Filtration (mathematics), Pure mathematics, Economics, Applied mathematics