Geodesic
A New Martingale Representation Theorem (Discrete Time)
Matematičeskie zametki, Tome 75 (2004) no. 1, pp. 40-54

Voir la notice de l'article provenant de la source Math-Net.Ru

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. 
@article{MZM_2004_75_1_a4,
     author = {N. S. Boyarintseva and V. M. Khametov},
     title = {A {New} {Martingale} {Representation} {Theorem} {(Discrete} {Time)}},
     journal = {Matemati\v{c}eskie zametki},
     pages = {40--54},
     publisher = {mathdoc},
     volume = {75},
     number = {1},
     year = {2004},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/MZM_2004_75_1_a4/}
}
TY  - JOUR
AU  - N. S. Boyarintseva
AU  - V. M. Khametov
TI  - A New Martingale Representation Theorem (Discrete Time)
JO  - Matematičeskie zametki
PY  - 2004
SP  - 40
EP  - 54
VL  - 75
IS  - 1
PB  - mathdoc
UR  - http://geodesic.mathdoc.fr/item/MZM_2004_75_1_a4/
LA  - ru
ID  - MZM_2004_75_1_a4
ER  - 
%0 Journal Article
%A N. S. Boyarintseva
%A V. M. Khametov
%T A New Martingale Representation Theorem (Discrete Time)
%J Matematičeskie zametki
%D 2004
%P 40-54
%V 75
%N 1
%I mathdoc
%U http://geodesic.mathdoc.fr/item/MZM_2004_75_1_a4/
%G ru
%F MZM_2004_75_1_a4
N. S. Boyarintseva; V. M. Khametov. A New Martingale Representation Theorem (Discrete Time). Matematičeskie zametki, Tome 75 (2004) no. 1, pp. 40-54. http://geodesic.mathdoc.fr/item/MZM_2004_75_1_a4/