Itô Representation Theorem

Theorem (Itô Representation theorem)

Let (Bt)t≥0(B_{t})_{t\ge 0} be standard B.M., let (Ft)t≥0(\mathcal{F}_{t})_{t\ge 0} be the completed Natural Filtration of (Bt)t≥0(B_{t})_{t\ge 0} and let F∞=σ(⋃t∈R+Ft)\mathcal{F}_{\infty}=\sigma(\bigcup_{t\in\mathbb{R}^{+}}\mathcal{F}_{t}). Let F∈L2(Ω,F∞,P)F\in L^{2}(\Omega,\mathcal{F}_{\infty},P) (where F∞⊂F\mathcal{F}_{\infty}\subset \mathcal{F}). Then ∃!H∈L2(R+×Ω,P,μB):F=E[F]+∫H dB\exists!H\in L^{2}(\mathbb{R}^{+}\times\Omega,\mathscr{P},\mu_{B}):F=E[F]+\int\limits H \, dB