A generalized Haussmann's formula

DOI10.1080/07362999308809301zbMATH Open0771.60042OpenAlexW2037175628MaRDI QIDQ4036135FDOQ4036135

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

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

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)

Cites Work

• Martingales, the Malliavin calculus and hypoellipticity under general H�rmander's conditions
• Title not available (Why is that?)
• Stochastic calculus with anticipating integrands
• Malliavin's calculus and stochastic integral representations of functional of diffusion processes^†
• 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)