An extension of the Clark–Haussmann formula and applications

DOI10.1080/17442508.2018.1557187zbMath1498.91388arXiv1710.00939OpenAlexW2903774494MaRDI QIDQ5087031

Traian A. Pirvu, Ulrich G. Haussmann

Publication date: 8 July 2022

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1710.00939

zbMATH Keywords

Ornstein-Uhlenbeck processstate price densitymean variance optimizationClark-Haussmann formulamulti-dimensional stock market

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44) Portfolio theory (91G10)

Cites Work

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• White Noise Generalization of the Clark-Ocone Formula Under Change of Measure
• Applications of the Quadratic Covariation Differentiation Theory: Variants of the Clark-Ocone and Stroock's Formulas
• Malliavin's calculus and stochastic integral representations of functional of diffusion processes^†
• A generalized clark representation formula, with application to optimal portfolios
• The Malliavin Calculus and Related Topics
• Functionals of Itô Processes as Stochastic Integrals
• A Differentiation Theory for Itô's Calculus

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