Stochastic integral representation of one stochastically non-smooth Wiener functional

zbMATH Open1362.60052MaRDI QIDQ2979796FDOQ2979796

Authors: Hanna Livinska, O. Purtukhia 

Publication date: 26 April 2017

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zbMATH Keywords

stochastic integral representationClark-Ocone formulastochastic derivativesWiener functional

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic integrals (60H05) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Cited In (10)

• Title not available (Why is that?)
• On the smoothness of conditional mean of some stochastically nonsmooth functionals
• Weak approximations for Wiener functionals
• Title not available (Why is that?)
• Stochastic integral representation of one nonsmooth Brownian functional
• On the stochastic integral representation of Brownian functionals
• Stochastic integral representation of path-dependent non-smooth Brownian functionals
• Stochastic integral representation of past-dependent non-smooth Brownian functionals
• Clark's representation of Wiener functionals and hedging of the barrier option
• Title not available (Why is that?)

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