GENERALIZED BROWNIAN MOTIONS WITH APPLICATION TO FINANCE

DOI10.4134/JKMS.2006.43.2.357zbMath1101.60036OpenAlexW315176646MaRDI QIDQ5473081

Dong Myung Chung, Jeong Hyun Lee

Publication date: 19 June 2006

Published in: Journal of the Korean Mathematical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.4134/jkms.2006.43.2.357

zbMATH Keywords

Clark-Ocone formulahedging portfolio

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)

Related Items (4)

Effect of drift of the generalized Brownian motion process: an example for the analytic Feynman integral ⋮ Cameron–Storvick theorem associated with Gaussian paths on function space ⋮ Translation theorem for function space integral associated with Gaussian paths and applications ⋮ Multiple generalized analytic Fourier-Feynman transform via rotation of Gaussian paths on function space

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