Functions of bounded variation on the classical Wiener space and an extended Ocone-Karatzas formula

DOI10.1016/j.spa.2012.03.010zbMath1255.60089arXiv1109.5071OpenAlexW2045522364WikidataQ62043503 ScholiaQ62043503MaRDI QIDQ429294

Dario Trevisan, Maurizio Pratelli

Publication date: 19 June 2012

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

Full work available at URL: https://arxiv.org/abs/1109.5071

zbMATH Keywords

Malliavin calculusBV functionsWiener spaceOcone-Karatzas formula

Mathematics Subject Classification ID

Brownian motion (60J65) Stochastic calculus of variations and the Malliavin calculus (60H07) Set functions and measures and integrals in infinite-dimensional spaces (Wiener measure, Gaussian measure, etc.) (28C20)

Cites Work

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• BV functions in abstract Wiener spaces
• Distribution function inequalities for martingales
• Wiener functionals as Ito integrals
• BV functions and distorted Ornstein Uhlenbeck processes over the abstract Wiener space
• An introduction to analysis on Wiener space
• An extension of clark' formula
• Applications of Radon-Nikodym Theorems to Martingale Convergence
• Using the Donsker delta function to compute hedging strategies
• On the space of BV functions and a related stochastic calculus in infinite dimensions

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