Brownian martingale representation theorem

ID: brownian-martingale-representation-theorem

Every square-integrable random variable measurable with respect to a Brownian filtration can be written as its expectation plus an Itô integral against that Brownian motion. Equivalently, every square-integrable martingale in that filtration has the form
for a predictable square-integrable process .

New to topics? Read the docs here!