Functionals of diffusion processes as stochastic integrals

DOI10.1017/S0305004100056590MaRDI QIDQ3859043zbMATH OpenOpenAlexFDO

Authors Mark H. A. Davis

Publication date 1980

Published in Mathematical Proceedings of the Cambridge Philosophical Society (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/s0305004100056590

zbMATH Keywords

martingale representationstochastic differential equationstochastic integrals

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Stochastic integrals (60H05) Diffusion processes (60J60)

Cites work

• Functionals of Itô Processes as Stochastic Integrals
• On the integral representation of functionals of ltd processest
• The Representation of Functionals of Brownian Motion by Stochastic Integrals

Cited in

(11)

• A short proof of a martingale representation result
• Option hedging for semimartingales
• Differentiable measures and the Malliavin calculus
• A simplified proof of the representation of functionals of diffusions
• On volatility of prices in arbitrage-free markets
• Functional Itō calculus and stochastic integral representation of martingales
• Malliavin's calculus and stochastic integral representations of functional of diffusion processes^†
• Generalized multiple stochastic integrals and the representation of wiener functionals
• Martingales, the Malliavin calculus and hypoellipticity under general H�rmander's conditions
• The martingale maximum principle and the allocation of labour surplus
• Weak approximation of martingale representations

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