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• W1762184644 abstract "We present a systematic method for computing explicit approximations to martingale representations for a large class of Brownian functionals. The approximations are obtained by 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." @default.
• W1762184644 created "2016-06-24" @default.
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• W1762184644 date "2016-03-01" @default.
• W1762184644 modified "2023-10-12" @default.
• W1762184644 title "Weak approximation of martingale representations" @default.
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• W1762184644 doi "https://doi.org/10.1016/j.spa.2015.10.002" @default.
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