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. 
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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/

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