Integration by Parts and Martingale Representation for a Markov Chain
Author
Source
Issue
Vol. 2014, Issue 2014 (31 Dec. 2014), pp.1-11, 11 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2014-06-02
Country of Publication
Egypt
No. of Pages
11
Main Subjects
Abstract EN
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 representations of martingales for the fundamental jump processes are derived using the integration-by-parts formulas.
These results are then applied to hedge contingent claims in a Markov chain financial market, which provides a practical motivation for the developments of the integration-by-parts formulas and the martingale representations.
American Psychological Association (APA)
Siu, Tak Kuen. 2014. Integration by Parts and Martingale Representation for a Markov Chain. Abstract and Applied Analysis،Vol. 2014, no. 2014, pp.1-11.
https://search.emarefa.net/detail/BIM-1013938
Modern Language Association (MLA)
Siu, Tak Kuen. Integration by Parts and Martingale Representation for a Markov Chain. Abstract and Applied Analysis No. 2014 (2014), pp.1-11.
https://search.emarefa.net/detail/BIM-1013938
American Medical Association (AMA)
Siu, Tak Kuen. Integration by Parts and Martingale Representation for a Markov Chain. Abstract and Applied Analysis. 2014. Vol. 2014, no. 2014, pp.1-11.
https://search.emarefa.net/detail/BIM-1013938
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1013938