Accepted Manuscript Martingale representation for degenerate diffusions A.S. Üstünel

What is it about?

We give the representation of the martingales which are measurable w.r.t. the data generated by a degenerate diffusion process in arbitrary dimension, which was an unanswered question since the era of K. Ito. As an application we construct the corresponding innovation process and the chaos representation property under the strong existence and weak uniqueness hypothesis .

Featured Image

Why is it important?

This was an open problem for more then seventy years and potentially applicable in several domains like physics, finance, etc.

Perspectives