On the integral representation of functionals of ltd processest

DOI10.1080/17442507908833134MaRDI QIDQ3862808zbMATH OpenOpenAlexFDO

Authors Ulrich G. Haussmann

Publication date 1979

Published in Stochastics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/17442507908833134

zbMATH Keywords

diffusionGirsanov's transformationIto equationmartingale representationstochastic integral

Mathematics Subject Classification ID

Martingales and classical analysis (60G46) Stochastic integrals (60H05) Diffusion processes (60J60)

Cites work

• Functionals of Itô Processes as Stochastic Integrals
• Necessary Conditions for Continuous Parameter Stochastic Optimization Problems
• Nonexistence of strong nonanticipating solutions to stochastic DEs: implications for functional DEs, filtering, and control
• On the Stochastic Maximum Principle
• On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of Measures
• The Representation of Functionals of Brownian Motion by Stochastic Integrals

Cited in

(31)

• A short proof of a martingale representation result
• Diffusions conditionnelles. I. Hypoellipticité partielle
• Diffusions conditionnelles. II. Générateur conditionel. Application au filtrage
• Differentiable measures and the Malliavin calculus
• Solving forward-backward stochastic differential equations explicitly -- a four step scheme
• Dynamic spanning without probabilities
• Integration by parts and martingale representation for a Markov chain
• A simplified proof of the representation of functionals of diffusions
• On volatility of prices in arbitrage-free markets
• On securitization, market completion and equilibrium risk transfer
• Functional Itō calculus and stochastic integral representation of martingales
• A functional Itō-formula for Dawson-Watanabe superprocesses
• A discrete-time Clark-Ocone formula and its application to an error analysis
• Diffusions, their derivatives and expansions in Wiener chaos
• Stochastic integral representations, stochastic derivatives and minimal variance hedging
• Malliavin's calculus and stochastic integral representations of functional of diffusion processes^†
• A generalized clark representation formula, with application to optimal portfolios
• RANDOM FIELDS: NON-ANTICIPATING DERIVATIVE AND DIFFERENTIATION FORMULAS
• Generalized multiple stochastic integrals and the representation of wiener functionals
• Functionals of diffusion processes as stochastic integrals
• Martingales, the Malliavin calculus and hypoellipticity under general H�rmander's conditions
• Calcul des variations stochastique et processus de sauts
• The calculus of boundary processes
• Weak approximation of martingale representations
• Four step scheme for general Markovian forward-backward SDEs
• On the stochastic integral representation of Brownian functionals
• On martingale representations of non-smooth Brownian functionals
• A Girsanov transformed Clark-Ocone-Haussmann type formula for \(L^1\)-pure jump additive processes and its application to portfolio optimization
• An integral representation of the local time of the Brownian motion via the Clark-Ocone formula
• Constructive martingale representation of non-smooth exponential path-dependent Brownian functionals
• A functional extension of the Ito formula

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