A generalized Haussmann's formula

DOI10.1080/07362999308809301zbMath0771.60042OpenAlexW2037175628MaRDI QIDQ4036135

Ying Hu

Publication date: 16 May 1993

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

Full work available at URL: https://doi.org/10.1080/07362999308809301

zbMATH Keywords

Malliavin calculusintegral representationClark formulaHaussmann formulaRiesz representations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic calculus of variations and the Malliavin calculus (60H07)

Related Items (2)

A nonsmooth chain rule for malliavin's derivative operator ⋮ The existence and uniqueness of the solution for nonlinear Kolmogorov equations

Cites Work

• Unnamed Item
• Stochastic calculus with anticipating integrands
• Malliavin's calculus and stochastic integral representations of functional of diffusion processes^†
• [https://portal.mardi4nfdi.de/wiki/Publication:3889862 Martingales, the Malliavin calculus and hypoellipticity under general H�rmander's conditions]
• The Representation of Functionals of Brownian Motion by Stochastic Integrals

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