On One Integral Representation of Functionals of Brownian Motion

DOI10.1137/S0040585X97T988034zbMATH Open1386.60283OpenAlexW2593386757MaRDI QIDQ2967985FDOQ2967985

O. G. Purtukhia, O. A. Glonti

Publication date: 9 March 2017

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/s0040585x97t988034

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zbMATH Keywords

Malliavin derivativeClark-Ocone formulaBrownian functionalClark representation

Mathematics Subject Classification ID

Brownian motion (60J65) Stochastic integrals (60H05) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Cites Work

• The Malliavin Calculus and Related Topics
• Title not available (Why is that?)
• Title not available (Why is that?)
• On the Problem of Stochastic Integral Representations of Functionals of the Brownian Motion. II
• On the Problem of Stochastic Integral Representations of Functionals of the Brownian Motion. I
• Malliavin's calculus and stochastic integral representations of functional of diffusion processes^†
• Stochastic integral representation of functionals of Poisson processes
• The Representation of Functionals of Brownian Motion by Stochastic Integrals

Cited In (15)

• On \(L^ p\) stochastic representations
• On the representation of functionals on a Wiener field
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• Brownian excursions, stochastic integrals, and representation of Wiener functionals
• On martingale representations of non-smooth Brownian functionals
• A family of integral representations for the Brownian variables.
• A variational representation for certain functionals of Brownian motion
• On the Problem of Stochastic Integral Representations of Functionals of the Brownian Motion. II
• On the stochastic integral representation of Brownian functionals
• Applications of the Quadratic Covariation Differentiation Theory: Variants of the Clark-Ocone and Stroock's Formulas
• On the Problem of Stochastic Integral Representations of Functionals of the Brownian Motion. I
• Hedging of the European option with nonsmooth payment function
• Integral representation of generalized grey Brownian motion
• A representation for positive functionals of a Brownian motion and an application
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