White Noise Generalization of the Clark-Ocone Formula Under Change of Measure

DOI10.1080/07362994.2010.515498zbMath1215.60038OpenAlexW2150185006MaRDI QIDQ3068105

Yeliz Yolcu-Okur

Publication date: 13 January 2011

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://hdl.handle.net/11511/63792

zbMATH Keywords

Malliavin calculusClark-Ocone formulachange of measure(Hida) Malliavin derivative

Mathematics Subject Classification ID

Generalized stochastic processes (60G20) White noise theory (60H40) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic calculus of variations and the Malliavin calculus (60H07)

Related Items (2)

Malliavin differentiability of indicator functions on canonical Lévy spaces ⋮ An extension of the Clark–Haussmann formula and applications

Cites Work

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• On a dual pair of spaces of smooth and generalized random variables
• Multiple Wiener integral
• FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE
• The Representation of Functionals of Brownian Motion by Stochastic Integrals
• White noise generalizations of the Clark-Haussmann-Ocone theorem with application to mathematical finance
• Using the Donsker delta function to compute hedging strategies

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