# Functional It\^o calculus and martingale representation formula for integer-valued measures

@inproceedings{BlacqueFlorentin2015FunctionalIC, title={Functional It\^o calculus and martingale representation formula for integer-valued measures}, author={Pierre M. Blacque-Florentin and Rama Cont}, year={2015} }

- Published 2015

We develop a calculus for functionals of integer-valued measures, which extends the Functional It\^o calculus to functionals of Poisson random measures in a pathwise sense. We show that smooth functionals in the sense of this pathwise calculus are dense in the space of square-integrable (compensated) integrals with respect to a large class of integer-valued random measures. As a consequence, we obtain an explicit martingale representation formula for all square-integrable martingales with… CONTINUE READING