Constructive martingale representation of non-smooth exponential path-dependent Brownian functionals

MaRDI QIDQ7236669zbMATH OpenFDO

Authors Ekaterine Namgalauri, O. Purtukhia

Publication date 29 April 2026

Published in Transactions of A. Razmadze Mathematical Institute (Search for Journal in Brave)

Full work available at URL https://rmi.tsu.ge/transactions/TRMI-volumes/180-1/v180(1)-9.pdf

zbMATH Keywords

Brownian functionalsClark-Ocone formulaMalliavin derivativemartingale representationstochastic integral representation

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07) Brownian motion (60J65)

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