Integration by parts and martingale representation for a Markov Chain

Tak Kuen Siu*

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

6 Citations (Scopus)
123 Downloads (Pure)


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.

Original languageEnglish
Article number438258
Pages (from-to)1-11
Number of pages11
JournalAbstract and Applied Analysis
Publication statusPublished - 2014

Bibliographical note

Copyright the Author 2014. Version archived for private and non-commercial use with the permission of the author/s and according to publisher conditions. For further rights please contact the publisher.


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