A generalized Haussmann's formula

DOI10.1080/07362999308809301MaRDI QIDQ4036135zbMATH OpenOpenAlexFDO

Authors Ying Hu

Publication date 16 May 1993

Published in Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07362999308809301

zbMATH Keywords

Malliavin calculusintegral representationHaussmann formulaClark formulaRiesz representations

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Recommendations

• A Haussmann-Clark-Ocone formula for functionals of diffusion processes with Lipschitz coefficients
• The Wiener space derivative for functionals of diffusions on manifolds
• Malliavin's calculus and stochastic integral representations of functional of diffusion processes^†
• scientific article; zbMATH DE number 4192798
• A generalization of the Bismut-Elworthy formula

Cites work

• scientific article; zbMATH DE number 43057 (Why is no real title available?)
• Malliavin's calculus and stochastic integral representations of functional of diffusion processes^†
• Martingales, the Malliavin calculus and hypoellipticity under general H�rmander's conditions
• Stochastic calculus with anticipating integrands
• The Representation of Functionals of Brownian Motion by Stochastic Integrals

Cited in

(6)

• A Haussmann-Clark-Ocone formula for functionals of diffusion processes with Lipschitz coefficients
• The existence and uniqueness of the solution for nonlinear Kolmogorov equations
• A nonsmooth chain rule for malliavin's derivative operator
• A generalization of the Bismut-Elworthy formula
• Stochastic regularization effects of semi-martingales on random functions
• A simplified proof of the representation of functionals of diffusions

This page was built for publication: A generalized Haussmann's formula

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4036135)