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

DOI10.1137/S0040585X97980427zbMath1057.60057OpenAlexW4239368420MaRDI QIDQ4830854

Albert N. Shiryaev, Marc Yor

Publication date: 16 December 2004

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

Full work available at URL: https://doi.org/10.1137/s0040585x97980427

zbMATH Keywords

Brownian motionItô formulastochastic integral representationMarkov time

Mathematics Subject Classification ID

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

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