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Itô Representation Theorem

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Theorem
StochasticDiffs

Let (Bt)t0(B_{t})_{t\ge 0} be standard B.M., let (Ft)t0(\mathcal{F}_{t})_{t\ge 0} be the completed Filtration of (Bt)t0(B_{t})_{t\ge 0} and let F=σ(tR+Ft)\mathcal{F}_{\infty}=\sigma(\bigcup_{t\in\mathbb{R}^{+}}\mathcal{F}_{t}). Let FL2(Ω,F,P)F\in L^{2}(\Omega,\mathcal{F}_{\infty},P) (where FF\mathcal{F}_{\infty}\subset \mathcal{F}). Then !HL2(R+×Ω,P,μB):F=E[F]+HdB\exists!H\in L^{2}(\mathbb{R}^{+}\times\Omega,\mathscr{P},\mu_{B}):F=E[F]+\int\limits H \, dB