Weak approximation of martingale representations

Rama Cont (1) , Yi Lu (1)

1 LPMA - Laboratoire de Probabilités et Modèles Aléatoires

We present a systematic method for computing explicit approximations to martingale representations for a large class of Brownian functionals. The approximations are based on a notion of pathwise functional derivative and yield a consistent estimator for the integrand in the martingale representation formula for any square-integrable functional of the solution of an SDE with path-dependent coefficients. Explicit convergence rates are derived for functionals which are Lipschitz-continuous in the supremum norm. The approximation and the proof of its convergence are based on the Functional Ito calculus, and require neither the Markov property, nor any differentiability conditions on the coefficients of the stochastic differential equations involved.

Mots clés: Stochastic Calculus; Martingale Representation Theorem; Malliavin calculus; Stochastic Differential equations

Domaines: Probabilités [math.PR]

Rama Cont, Yi Lu. Weak approximation of martingale representations. 2014. ⟨hal-01099787v1⟩