Martingale structure of Skorohod integral processes

  title={Martingale structure of Skorohod integral processes},
  author={G. Peccati and Mich{\`e}le Thieullen},
Let the process {Yt, t ∈ [0, 1]}, have the form Yt = δ ( u1[0,t] ) , where δ stands for a Skorohod integral with respect to Brownian motion, and u is a measurable process verifying some suitable regularity conditions. We use a recent result by Tudor (2004), to prove that Yt can be represented as the limit of linear combinations of processes that are products of forward and backward Brownian martingales. Such a result is a further step towards the connection between the theory of continuoustime… CONTINUE READING