Open Access
2014 Integration by Parts and Martingale Representation for a Markov Chain
Tak Kuen Siu
Abstr. Appl. Anal. 2014(SI63): 1-11 (2014). DOI: 10.1155/2014/438258


Integration-by-parts formulas for functions of fundamental jump processes relating to a continuous-time, finite-state Markov chain are derived using Bismut's change of measures approach to Malliavin calculus. New expressions for the integrands in stochastic integrals corresponding to representations of martingales for the fundamental jump processes are derived using the integration-by-parts formulas. These results are then applied to hedge contingent claims in a Markov chain financial market, which provides a practical motivation for the developments of the integration-by-parts formulas and the martingale representations.


Download Citation

Tak Kuen Siu. "Integration by Parts and Martingale Representation for a Markov Chain." Abstr. Appl. Anal. 2014 (SI63) 1 - 11, 2014.


Published: 2014
First available in Project Euclid: 6 October 2014

MathSciNet: MR3219372
Digital Object Identifier: 10.1155/2014/438258

Rights: Copyright © 2014 Hindawi

Vol.2014 • No. SI63 • 2014
Back to Top