On One Integral Representation of Functionals of Brownian Motion

DOI10.1137/S0040585X97T988034zbMath1386.60283OpenAlexW2593386757MaRDI QIDQ2967985

O. G. Purtukhia, O. A. Glonti

Publication date: 9 March 2017

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/s0040585x97t988034

zbMATH Keywords

Clark-Ocone formulaMalliavin derivativeBrownian functionalClark representation

Mathematics Subject Classification ID

Brownian motion (60J65) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic integrals (60H05)

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Cites Work

• Malliavin's calculus and stochastic integral representations of functional of diffusion processes^†
• The Malliavin Calculus and Related Topics
• On the Problem of Stochastic Integral Representations of Functionals of the Brownian Motion. II
• On the Problem of Stochastic Integral Representations of Functionals of the Brownian Motion. I
• The Representation of Functionals of Brownian Motion by Stochastic Integrals
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