Integral representation of martingales motivated by the problem of endogenous completeness in financial economics

Dmitry Kramkov, Silviu Predoiu

Let $\mathbb{Q}$ and $\mathbb{P}$ be equivalent probability measures and let $\psi$ be a $J$-dimensional vector of random variables such that $\frac{d\mathbb{Q}}{d\mathbb{P}}$ and $\psi$…