653 citations · 2.9k across the 53 of their papers we have counts for
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math.PR2015
Functional calculus and martingale representation formula for integer-valued random measures
Pierre M. Blacque-Florentin, Rama Cont
We develop a non-anticipative calculus for functionals of a continuous martingale and an integer-valued random measure. We first construct a non-anticipative functional derivative,…
math.PR2015★ 18 cited
Weak approximation of martingale representations
Rama Cont, Yi Lu
We present a systematic method for computing explicit approximations to martingale representations for a large class of Brownian functionals. The approximations are obtained by obt…