A simplified proof of the representation of functionals of diffusions

DOI10.1007/BF01447646MaRDI QIDQ1823544zbMATH OpenOpenAlexFDO

Authors Ata N. Al-Hussaini

Publication date 1989

Published in Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf01447646

zbMATH Keywords

conditional expectation of a Fréchet derivativeMarkov diffusionmartingale representation

Mathematics Subject Classification ID

Stochastic integrals (60H05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Review text

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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Cites work

• Functionals of diffusion processes as stochastic integrals
• Functionals of Itô Processes as Stochastic Integrals
• scientific article; zbMATH DE number 3780265 (Why is no real title available?)
• scientific article; zbMATH DE number 3505981 (Why is no real title available?)
• On the integral representation of functionals of ltd processest
• The Representation of Functionals of Brownian Motion by Stochastic Integrals

Cited in

(5)

• A Haussmann-Clark-Ocone formula for functionals of diffusion processes with Lipschitz coefficients
• scientific article; zbMATH DE number 3131442 (Why is no real title available?)
• scientific article; zbMATH DE number 4199186 (Why is no real title available?)
• scientific article; zbMATH DE number 1254157 (Why is no real title available?)
• On a Chen-Fliess approximation for diffusion functionals

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