Explicit formulae for time-space Brownian chaos. (Q1812191)

The initial impetus for the present work comes from financial mathematics. The specific problem of static hedging of path-dependent options by means of simpler contingent claims (calls and puts) has led to an explicit representation of the intrinsic risk in terms of the Stroock formula for the Wiener chaos. The main achievement of the paper is an explicit formula for the time-space chaotic decomposition of \(L^2(X)\) (the space of square integrable functionals of the standard Brownian motion \(X\)). That involves the construction of a bounded Hardy operator. Hardy operators, isomorphisms and inequalities are summarized in Section 3. The derivation of the time-space counterpart of the classical Stroock formula employs an extension of the Clark-Ocone formula for enlarged filtrations [\textit{D. Ocone}, Stochastics 12, 161--185 (1984; Zbl 0542.60055)].