Explicit stochastic integral representation of path-dependent Brownian functionals

MaRDI QIDQ6985683zbMATH OpenFDO

Authors Valeri Berikashvili, Valeriane Jokhadze, O. Purtukhia

Publication date 12 May 2025

Published in Bulletin of the Georgian National Academy of Sciences. New Series (Search for Journal in Brave)

Full work available at URL http://science.org.ge/bnas/t19-n1/01_Berikashvili_Mathematics.pdf

zbMATH Keywords

Brownian functionalClark-Ocone formulaMalliavin derivativemartingale representationstochastic integral representation

Mathematics Subject Classification ID

Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07) Brownian motion (60J65)

Cites work

• Explicit Martingale Representations for Brownian Functionals and Applications to Option Hedging
• Malliavin's calculus and stochastic integral representations of functional of diffusion processes^†
• On One Integral Representation of Functionals of Brownian Motion
• On the Problem of Stochastic Integral Representations of Functionals of the Brownian Motion. I
• Stochastic calculus with anticipating integrands
• The Malliavin Calculus and Related Topics
• The Representation of Functionals of Brownian Motion by Stochastic Integrals

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