Take the 2-minute tour ×
Mathematics Stack Exchange is a question and answer site for people studying math at any level and professionals in related fields. It's 100% free, no registration required.

Does any one know which book I can find the proof of martingale representation theorem in detail? I.E. Any $F_B$ adapted local martingale M is continuous and can be written as a integration of Brownian.

There is a proof on my notes. It says there exists a sequence of stopping times {$T_n$} such that $M^{T_n}$ is a bounded martingale. But we don't know M is continuous, I don't know how to construct a well-defined sequence of stopping times to make $M^{T_n}$ be a bounded martingale.

Thanks!

share|improve this question
add comment

1 Answer

There are many references for example Philip E. Protter's book Stochastic Integration and Differential Equations.

On the net George Lowther's Blog Almost sure where this post should do the trick.

Best regards

share|improve this answer
add comment

Your Answer

 
discard

By posting your answer, you agree to the privacy policy and terms of service.

Not the answer you're looking for? Browse other questions tagged or ask your own question.