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Matematicheskie Zametki, 2004, Volume 75, Issue 1, Pages 40–54
DOI: https://doi.org/10.4213/mzm5 (Mi mzm5) 		 
A New Martingale Representation Theorem (Discrete Time)

N. S. Boyarintseva, V. M. Khametov

Moscow State Institute of Electronics and Mathematics (Technical University)
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DOI: https://doi.org/10.4213/mzm5
Abstract: In this paper, we prove a new theorem concerning representation of discrete time martingales, which is based on solving a specially chosen problem of optimal control with random sequences. We establish a relationship between the solution of the Bellman equation and the martingale representation. We illustrate the results with an example of calculating a European type option.
Received: 28.03.2002
English version:
Mathematical Notes, 2004, Volume 75, Issue 1, Pages 38–50
DOI: https://doi.org/10.1023/B:MATN.0000015020.85960.f0
Bibliographic databases:
UDC: 517.219
Language: Russian
Citation: N. S. Boyarintseva, V. M. Khametov, “A New Martingale Representation Theorem (Discrete Time)”, Mat. Zametki, 75:1 (2004), 40–54; Math. Notes, 75:1 (2004), 38–50
Citation in format AMSBIB
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