Clark-Ocone type formula for non-semimartingales with finite quadratic variation (Q627755)
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scientific article; zbMATH DE number 5860060
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| English | Clark-Ocone type formula for non-semimartingales with finite quadratic variation |
scientific article; zbMATH DE number 5860060 |
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Clark-Ocone type formula for non-semimartingales with finite quadratic variation (English)
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3 March 2011
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The notions of stochastic integral and quadratic variation were studied for finite-dimensional processes by Russo-Vallois by means of a regularization technique. Here, the concept of finite quadratic variation is extended to Banach-valued processes, and an Itô formula is given. The particular case of window processes is considered; in this case, the process under study is \(X_t(.)\) where \(X_t(u)=X_{t+u}\), \(-\tau\leq u\leq0\), for some real process \(X\) and some \(\tau>0\); a Clark-Ocone formula is given in this framework.
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quadratic variation
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Banach-valued stochastic process
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stochastic integration via regularization
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Clark-Ocone formula
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0.8433257341384888
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0.7981212735176086
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0.7889207601547241
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0.787693440914154
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