A Haussmann-Clark-Ocone formula for functionals of diffusion processes with Lipschitz coefficients

DOI10.1155/S1048953302000308zbMath1030.60055OpenAlexW2106779384MaRDI QIDQ1394562

Khaled Bahlali, Brahim Mezerdi, Youssef Ouknine

Publication date: 8 February 2004

Published in: Journal of Applied Mathematics and Stochastic Analysis (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/50554

zbMATH Keywords

stochastic differential equationmartingale representationHausmann-Clark-Ocone formula

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Related Items (1)

Regularity and representation of viscosity solutions of partial differential equations via backward stochastic differential equations

This page was built for publication: A Haussmann-Clark-Ocone formula for functionals of diffusion processes with Lipschitz coefficients