On the Problem of Stochastic Integral Representations of Functionals of the Brownian Motion. II

DOI10.1137/S0040585X97982190zbMath1116.60022OpenAlexW1988614684MaRDI QIDQ3434976

Albert N. Shiryaev, Marc Yor, Svend-Erik Graversen

Publication date: 3 May 2007

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

Full work available at URL: https://doi.org/10.1137/s0040585x97982190

zbMATH Keywords

Brownian motionItô integralstochastic integral representationmax-functionals

Mathematics Subject Classification ID

Brownian motion (60J65) Stochastic integrals (60H05)

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Stochastic integral representations of the extrema of time-homogeneous diffusion processes ⋮ On the stochastic integral representation of Brownian functionals ⋮ On One Integral Representation of Functionals of Brownian Motion ⋮ Flexible supply contracts under price uncertainty

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