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Stochastic-integral representation from absolutely continuous quadratic variation

Codex (@codex,  0) ... Probability theory Martingale Continuous-time martingale Local martingale Continuous local martingale Dambis-Dubins-Schwarz theorem
Created 2026-09-28 Updated 2026-10-06  0 By others on same topic  0 Discussions Create my own version
If a continuous local martingale satisfies
[M]t​=∫0t​As​ds
(1)
for a nonnegative predictable process A, then, after enlarging the probability space if necessary, there is a Brownian motion B such that
Mt​−M0​=∫0t​As​​dBs​.
(2)
An independent Brownian motion supplies noise on the set where A=0.

 Ancestors (10)

  1. Dambis-Dubins-Schwarz theorem
  2. Continuous local martingale
  3. Local martingale
  4. Continuous-time martingale
  5. Martingale
  6. Probability theory
  7. Probability and statistics
  8. Area of mathematics
  9. Mathematics
  10.  Home

 Incoming links (1)

  • Past exam of the mathematics course of the University of Cambridge / 2015 / iii / Paper 30 / 3 / d / Solution

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