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Preprint Number 724

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724. Tristram de Piro
A Simple Proof of the Martingale Representation Theorem Using Nonstandard Analysis
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Submission date: 12 May 2014.

Abstract:

We give a proof of the Martingale Representation Theorem using the methods of nonstandard analysis. We will use it to find a general method of solving stochastic differential equations.

Mathematics Subject Classification:

Keywords and phrases:

Full text arXiv 1405.2725: pdf, ps.


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