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Mat. Zametki, 2004 Volume 75, Issue 1, Pages 40–54 (Mi mzm5)

A New Martingale Representation Theorem (Discrete Time)

N. S. Boyarintseva, V. M. Khametov

Moscow State Institute of Electronics and Mathematics (Technical University)

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.

UDC: 517.219

Received: 28.03.2002

DOI: 10.4213/mzm5


 English version:
Mathematical Notes, 2004, 75:1, 38–50

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