Functional Itō calculus and stochastic integral representation of martingales

DOI10.1214/11-AOP721zbMath1272.60031arXiv1002.2446MaRDI QIDQ1942112

Publication date: 15 March 2013

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1002.2446

zbMATH Keywords

Clark-Ocone formula; stochastic calculus; functional calculus; semimartingale; Wiener functionals; Malliavin derivative; martingale representation; functional Itō formula

Mathematics Subject Classification ID

60H25: Random operators and equations (aspects of stochastic analysis)

60G44: Martingales with continuous parameter

60H05: Stochastic integrals

60H07: Stochastic calculus of variations and the Malliavin calculus

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