Integration by Parts and Martingale Representation for a Markov Chain

Integration-by-parts formulas for functions of fundamental jump processes relating to a continuous-time, finite-state Markov chain are derived using Bismut's change of measures approach to Malliavin calculus. New expressions for the integrands in stochastic integrals corresponding to representa...

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Bibliographic Details
Main Author: Tak Kuen Siu
Format: Article
Language:English
Published: Wiley 2014-01-01
Series:Abstract and Applied Analysis
Online Access:http://dx.doi.org/10.1155/2014/438258
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