A Haussmann-Clark-Ocone formula for functionals of diffusion processes with Lipschitz coefficients

DOI10.1155/S1048953302000308MaRDI QIDQ1394562zbMATH OpenOpenAlexFDO

Authors Khaled Bahlali, Brahim Mezerdi, Youssef Ouknine

Publication date 8 February 2004

Published in Journal of Applied Mathematics and Stochastic Analysis (Search for Journal in Brave)

Full work available at URL https://eudml.org/doc/50554

zbMATH Keywords

stochastic differential equationmartingale representationHausmann-Clark-Ocone formula

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

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• Regularity and representation of viscosity solutions of partial differential equations via backward stochastic differential equations
• Representation formulas for Malliavin derivatives of diffusion processes
• A simplified proof of the representation of functionals of diffusions
• A generalized Haussmann's formula

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