A simplified proof of the representation of functionals of diffusions

DOI10.1007/BF01447646zbMath0681.60050OpenAlexW2053921504MaRDI QIDQ1823544

Ata N. Al-Hussaini

Publication date: 1989

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf01447646

zbMATH Keywords

martingale representationMarkov diffusionconditional expectation of a Fréchet derivative

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integrals (60H05)

Cites Work

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

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