Malliavin's calculus and stochastic integral representations of functional of diffusion processes†
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Publication:3330239
DOI10.1080/17442508408833299zbMATH Open0542.60055OpenAlexW2012557778MaRDI QIDQ3330239FDOQ3330239
Publication date: 1984
Published in: Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/17442508408833299
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- A TAYLOR FORMULA TO PRICE AND HEDGE EUROPEAN CONTINGENT CLAIMS
- A Girsanov transformed Clark-Ocone-Haussmann type formula for \(L^1\)-pure jump additive processes and its application to portfolio optimization
- A Haussmann-Clark-Ocone formula for functionals of diffusion processes with Lipschitz coefficients
- Anticipating integrals and martingales on the Poisson space
- A new approach to the martingale representation theorem
- Clark representation for local times of self-intersection of Gaussian integrators
- Brownian excursions, stochastic integrals, and representation of Wiener functionals
- Martingale representation for Poisson processes with applications to minimal variance hedging
- De Rham–Hodge decomposition and vanishing of harmonic forms by derivation operators on the Poisson space
- Weitzenböck and Clark-Ocone Decompositions for Differential Forms on the Space of Normal Martingales
- A discrete-time Clark-Ocone formula for Poisson functionals
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- On volatility of prices in arbitrage-free markets
- Extension of the ito calculus via the malliavin calculus
- Itô's lemma without non-anticipatory conditions
- Generalized multiple stochastic integrals and the representation of wiener functionals
- Optimal consumption and investment under partial information
- Adapted solution of a degenerate backward SPDE, with applications
- The Clark-Ocone formula for vector valued Wiener functionals
- Solving forward-backward stochastic differential equations explicitly -- a four step scheme
- A functional extension of the Ito formula
- Functional Itō calculus and stochastic integral representation of martingales
- Martingales on Riemannian manifolds with prescribed limit
- Some covariance inequalities in Wiener space
- Martingale representation and hedging policies
- Stochastic functional linear models and Malliavin calculus
- Approximation of expectation of diffusion processes based on Lie algebra and Malliavin calculus
- Stochastic integral representations, stochastic derivatives and minimal variance hedging
- Stochastic calculus with anticipating integrands
- On the stochastic integral representation of Brownian functionals
- Four step scheme for general Markovian forward-backward SDEs
- Applications of the Quadratic Covariation Differentiation Theory: Variants of the Clark-Ocone and Stroock's Formulas
- A generalized clark representation formula, with application to optimal portfolios
- Differentiable measures and the Malliavin calculus
- Dynamic spanning without probabilities
- A discrete-time Clark-Ocone formula and its application to an error analysis
- The existence of invariant measures for C[0,1]-valued diffusions
- Representation of the distributions on Wiener space and stochastic calculus of variations
- Hedging of the European option with nonsmooth payment function
- Martingale structure of Skorohod integral processes
- Diffusions, their derivatives and expansions in Wiener chaos
- The Wiener space derivative for functionals of diffusions on manifolds
- Modeling Variance Risk Premium
- A martingale bound for the entropy associated with a trimmed filtration on \(\mathbb{R}^d\)
- Singular optimal controls for stochastic recursive systems under convex control constraint
- Generalized holomorphic processes and differentiability
- Solvability of the Schrödinger equation by stochastic integration of magnetic fields
- Integration by parts and martingale representation for a Markov chain
- Spatial ergodicity for SPDEs via Poincaré-type inequalities
- Representation formulas for Malliavin derivatives of diffusion processes
- Optimal investment under dynamic risk constraints and partial information
- Malliavin calculus for difference approximations of multidimensional diffusions: Truncated local limit theorem
- A simplified proof of the representation of functionals of diffusions
- The fractional and mixed-fractional CEV model
- RANDOM FIELDS: NON-ANTICIPATING DERIVATIVE AND DIFFERENTIATION FORMULAS
- A representation theorem for smooth Brownian martingales
- On One Integral Representation of Functionals of Brownian Motion
- Weak approximation of martingale representations
- The Malliavin calculus and hypoelliptic differential operators
- A characterization of hedging portfolios for interest rate contingent claims.
- A generalized Haussmann's formula
- An extension of the Clark–Ocone formula under benchmark measure for Lévy processes
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