Stochastic integral representation of one stochastically non-smooth Wiener functional

MaRDI QIDQ2979796zbMATH OpenFDO

Authors Hanna Livinska, O. Purtukhia

Publication date 26 April 2017

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)

Recommendations

• On the smoothness of conditional mean of some stochastically nonsmooth functionals
• Stochastic integral representation of one nonsmooth Brownian functional
• Stochastic integral representation of path-dependent non-smooth Brownian functionals
• Stochastic integral representation of past-dependent non-smooth Brownian functionals
• About one method of stochastic integral representation of Brownian functional

Cited in

(10)

• scientific article; zbMATH DE number 1409837 (Why is no real title available?)
• Stochastic integral representation of one nonsmooth Brownian functional
• scientific article; zbMATH DE number 16736 (Why is no real title available?)
• scientific article; zbMATH DE number 3965115 (Why is no real title available?)
• Clark's representation of Wiener functionals and hedging of the barrier option
• On the smoothness of conditional mean of some stochastically nonsmooth functionals
• Stochastic integral representation of path-dependent non-smooth Brownian functionals
• Stochastic integral representation of past-dependent non-smooth Brownian functionals
• Weak approximations for Wiener functionals
• On the stochastic integral representation of Brownian functionals

This page was built for publication: Stochastic integral representation of one stochastically non-smooth Wiener functional

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2979796)