Constructive martingale representation in functional Itô calculus: a local martingale extension
arXiv:1611.09214 · doi:10.1007/978-3-030-02825-1
Abstract
The constructive martingale representation theorem of functional Itô calculus is extended, from the space of square integrable martingales, to the space of local martingales. The setting is that of an augmented filtration generated by a Wiener process.