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Thread: Martingale representation theorem

  1. August 7th 2012, 05:47 AM #1
    Helpmeplease1
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    Martingale representation theorem

    If I have the process

    dY(t)=Y(t)(\sum_{k=1}^{m}V_{k}(t)dW_{k}(t)+d\xi(t) )

    How do I use the martingale representation to find Y?
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  2. August 8th 2012, 02:36 AM #2
    Helpmeplease1
    Helpmeplease1 is offline
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    Re: Martingale representation theorem

    I know that M(t)=M(0)_+\int^{t}_{0}V_{s}dW_{s}

    And the process in my original equation is \sum_{k=1}^{m}V_{k}(t)
    Last edited by Helpmeplease1; August 8th 2012 at 02:38 AM.
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