Functionals of diffusion processes as stochastic integrals

DOI10.1017/S0305004100056590zbMath0424.60063OpenAlexW2157656533MaRDI QIDQ3859043

Mark H. A. Davis

Publication date: 1980

Published in: Mathematical Proceedings of the Cambridge Philosophical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0305004100056590

zbMATH Keywords

stochastic differential equationstochastic integralsmartingale representation

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Diffusion processes (60J60) Stochastic integrals (60H05)

Related Items (11)

A short proof of a martingale representation result ⋮ On volatility of prices in arbitrage-free markets ⋮ Functional Itō calculus and stochastic integral representation of martingales ⋮ Generalized multiple stochastic integrals and the representation of wiener functionals ⋮ Option hedging for semimartingales ⋮ Malliavin's calculus and stochastic integral representations of functional of diffusion processes^† ⋮ The martingale maximum principle and the allocation of labour surplus ⋮ Weak approximation of martingale representations ⋮ [https://portal.mardi4nfdi.de/wiki/Publication:3889862 Martingales, the Malliavin calculus and hypoellipticity under general H�rmander's conditions] ⋮ A simplified proof of the representation of functionals of diffusions ⋮ Differentiable measures and the Malliavin calculus

Cites Work

• On the integral representation of functionals of ltd processest
• Functionals of Itô Processes as Stochastic Integrals
• The Representation of Functionals of Brownian Motion by Stochastic Integrals

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