Applications of the Quadratic Covariation Differentiation Theory: Variants of the Clark-Ocone and Stroock's Formulas

DOI10.1080/07362994.2011.610177zbMath1246.60080arXiv1011.1475OpenAlexW2092934802MaRDI QIDQ3114575

Ramiro Fontes, Hassan Allouba

Publication date: 19 February 2012

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

Full work available at URL: https://arxiv.org/abs/1011.1475

zbMATH Keywords

stochastic calculusItô calculusquadratic covariation stochastic derivativequadratic covariation stochastic differentiation theory

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Generalized stochastic processes (60G20) Stochastic integrals (60H05) Stochastic analysis (60H99) Foundations of stochastic processes (60G05)

Related Items

An extension of the Clark–Haussmann formula and applications

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Calcul stochastique et problèmes de martingales
• Linear Fourier and stochastic analysis
• Brownian-time processes: The PDE connection and the half-derivative generator
• Stochastic calculus for finance. II: Continuous-time models.
• Multiple Wiener integral
• Stochastic integral representations, stochastic derivatives and minimal variance hedging
• Brownian-time processes: The PDE connection II and the corresponding Feynman-Kac formula
• Malliavin's calculus and stochastic integral representations of functional of diffusion processes^†
• A generalized clark representation formula, with application to optimal portfolios
• An extension of clark' formula
• A Differentiation Theory for Itô's Calculus
• Correction Notes: Correction to "The Representation of Functionals of Brownian Motion by Stochastic Integrals"
• Stochastic integral
• Stochastic differential equations. An introduction with applications.