Functional Itō calculus and stochastic integral representation of martingales

DOI10.1214/11-AOP721zbMath1272.60031arXiv1002.2446OpenAlexW2012244785MaRDI QIDQ1942112

Publication date: 15 March 2013

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1002.2446

zbMATH Keywords

Clark-Ocone formula stochastic calculus functional calculus semimartingale Wiener functionals Malliavin derivative martingale representation functional Itō formula

Mathematics Subject Classification ID

Random operators and equations (aspects of stochastic analysis) (60H25) Martingales with continuous parameter (60G44) Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07)

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