On One Integral Representation of Functionals of Brownian Motion

DOI10.1137/S0040585X97T988034MaRDI QIDQ2967985zbMATH OpenOpenAlexFDO

Authors O. A. Glonti, O. G. Purtukhia

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

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)

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Cites work

• scientific article; zbMATH DE number 3538599 (Why is no real title available?)
• scientific article; zbMATH DE number 835835 (Why is no real title available?)
• Malliavin's calculus and stochastic integral representations of functional of diffusion processes^†
• On the Problem of Stochastic Integral Representations of Functionals of the Brownian Motion. I
• On the Problem of Stochastic Integral Representations of Functionals of the Brownian Motion. II
• Stochastic integral representation of functionals of Poisson processes
• The Malliavin Calculus and Related Topics
• The Representation of Functionals of Brownian Motion by Stochastic Integrals

Cited in

(23)

• On \(L^ p\) stochastic representations
• An integral representation of the local time of the Brownian motion via the Clark-Ocone formula
• On the representation of functionals on a Wiener field
• Brownian excursions, stochastic integrals, and representation of Wiener functionals
• scientific article; zbMATH DE number 7564035 (Why is no real title available?)
• Weak approximations for Wiener functionals
• Explicit stochastic integral representation of path-dependent Brownian functionals
• A family of integral representations for the Brownian variables.
• On martingale representations of non-smooth Brownian functionals
• Stochastic integral representation of one nonsmooth Brownian functional
• A variational representation for certain functionals of Brownian motion
• On the Problem of Stochastic Integral Representations of Functionals of the Brownian Motion. II
• About one method of stochastic integral representation of Brownian functional
• Applications of the Quadratic Covariation Differentiation Theory: Variants of the Clark-Ocone and Stroock's Formulas
• On the stochastic integral representation of Brownian functionals
• Conditionally Gaussian stochastic integrals
• Constructive martingale representation of non-smooth exponential path-dependent Brownian functionals
• Clark representation formula for the solution to equation with interaction
• 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
• scientific article; zbMATH DE number 7782818 (Why is no real title available?)

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