Functionals of diffusion processes as stochastic integrals

DOI10.1017/S0305004100056590zbMath0424.60063MaRDI QIDQ3859043

Mark H. A. Davis

Publication date: 1980

Published in: Mathematical Proceedings of the Cambridge Philosophical Society (Search for Journal in Brave)

zbMATH Keywords

stochastic differential equation; stochastic integrals; martingale representation

Mathematics Subject Classification ID

60G44: Martingales with continuous parameter

60J60: Diffusion processes

60H05: Stochastic integrals

Related Items

The martingale maximum principle and the allocation of labour surplus, A short proof of a martingale representation result, Option hedging for semimartingales, Differentiable measures and the Malliavin calculus, A simplified proof of the representation of functionals of diffusions, On volatility of prices in arbitrage-free markets, Malliavin's calculus and stochastic integral representations of functional of diffusion processes^†, Generalized multiple stochastic integrals and the representation of wiener functionals, [https://portal.mardi4nfdi.de/wiki/Software:3889862 Martingales, the Malliavin calculus and hypoellipticity under general H�rmander's conditions]

Cites Work

• On the integral representation of functionals of ltd processest
• Functionals of Itô Processes as Stochastic Integrals
• The Representation of Functionals of Brownian Motion by Stochastic Integrals