On the Semi-martingale Predictable Representation
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    Abstract:

    The characteristics for semi-martingale predictable representation are obtained (theorem2.2), which is derived from the functional representation theorem in martingale space, the Hahn-Banach theorem in functional analysis, and the Girsanov theorem for the semi-martingale vector stochastic integral. In light of the semi-martingale vector stochastic integral used, this method is a generalization of the classical result.

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History
  • Received:September 20,2009
  • Revised:
  • Adopted:
  • Online: September 19,2012
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