RANDOM FIELDS: NON-ANTICIPATING DERIVATIVE AND DIFFERENTIATION FORMULAS
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Publication:3502795
DOI10.1142/S0219025707002828zbMath1146.60044MaRDI QIDQ3502795
Publication date: 20 May 2008
Published in: Infinite Dimensional Analysis, Quantum Probability and Related Topics (Search for Journal in Brave)
Clark-Ocone formulainfinitely divisible lawnon-anticipative stochastic derivativerandom measure with independent values
Random fields (60G60) Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07)
Related Items (5)
Robustness of quadratic hedging strategies in finance via backward stochastic differential equations with jumps ⋮ Martingale representation for Poisson processes with applications to minimal variance hedging ⋮ The calculus of variations for processes with independent increments ⋮ Martingale representations for functionals of Lévy processes ⋮ Minimal-Variance Hedging in Large Financial Markets: Random Fields Approach
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