Clark representation formula for the solution to equation with interaction

zbMath1488.60171arXiv2103.04879MaRDI QIDQ5018644

Jasmina Djordjević, Andrey A. Dorogovtsev

Publication date: 21 December 2021

Full work available at URL: https://arxiv.org/abs/2103.04879

zbMATH Keywords

Clark-Ocone formulaClark representationstochastic differential equations with interaction

Mathematics Subject Classification ID

Estimation and detection in stochastic control theory (93E10) Stochastic systems in control theory (general) (93E03) Stochastic calculus of variations and the Malliavin calculus (60H07) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

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