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@article{Cont:2015:10.1016/j.spa.2015.10.002,
author = {Cont, R and LU, Y},
doi = {10.1016/j.spa.2015.10.002},
journal = {Stochastic Processes and Their Applications},
pages = {857--882},
title = {Weak approximation of martingale representations},
url = {http://dx.doi.org/10.1016/j.spa.2015.10.002},
volume = {126},
year = {2015}
}

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TY  - JOUR
AB  - We present a systematic method for computing explicit approximations to martingale representations for a large class of Brownian functionals. The approximations are obtained by computing a directional derivative of the weak Euler scheme and yield a consistent estimator for the integrand in the martingale representation formula for any square-integrable functional of the solution of an SDE with path-dependent coefficients. Explicit convergence rates are derived for functionals which are Lipschitz-continuous in the supremum norm. Our results require neither the Markov property, nor any differentiability conditions on the functional or the coefficients of the stochastic differential equations involved.
AU  - Cont,R
AU  - LU,Y
DO  - 10.1016/j.spa.2015.10.002
EP  - 882
PY  - 2015///
SN  - 0304-4149
SP  - 857
TI  - Weak approximation of martingale representations
T2  - Stochastic Processes and Their Applications
UR  - http://dx.doi.org/10.1016/j.spa.2015.10.002
UR  - http://hdl.handle.net/10044/1/27033
VL  - 126
ER  -

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