A simplified proof of the representation of functionals of diffusions (Q1823544): Difference between revisions
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Latest revision as of 12:13, 30 July 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A simplified proof of the representation of functionals of diffusions |
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A simplified proof of the representation of functionals of diffusions (English)
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1989
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The result that a functional of the path of a Markov diffusion is the stochastic integral of an integrand which is the conditional expectation of a Fréchet derivative is obtained by first considering the case when the functional depends only on the trajectory value at a fixed time and using flows, similarly to the paper of the reviewer and \textit{M. Kohlmann}, Stat. Probab. Lett. 6, No.5, 327-329 (1988; Zbl 0645.60053). The case of a general functional is then derived by approximation.
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martingale representation
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Markov diffusion
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conditional expectation of a Fréchet derivative
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