Weak approximation of martingale representations

Abstract : We present a systematic method for computing explicit approximations to martingale representations for a large class of Brownian functionals. The approximations are obtained by computing a directional derivative of the weak Euler scheme 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. Our results require neither the Markov property, nor any differentiability conditions on the functional or the coefficients of the stochastic differential equations involved.
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Article dans une revue
Stochastic Processes and their Applications, Elsevier, 2016, 126 (3), pp.857-882. <10.1016/j.spa.2015.10.002>
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https://hal.archives-ouvertes.fr/hal-01266220
Contributeur : Philippe Macé <>
Soumis le : mardi 2 février 2016 - 12:02:21
Dernière modification le : mardi 11 octobre 2016 - 13:59:33

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R. Cont, Y. Lu. Weak approximation of martingale representations. Stochastic Processes and their Applications, Elsevier, 2016, 126 (3), pp.857-882. <10.1016/j.spa.2015.10.002>. <hal-01266220>

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