Markus Kunze

Martingales and path-dependent PDEs via evolutionary semigroups

Abstract In this article, we develop a semigroup-theoretic framework for the analytic characterization of martingales with path-dependent terminal conditions. Our main result establishes that a measurable adapted process of the form $$ V(t) - \int _0^t \Psi (s)\, ds $$ V ( t ) -...