Functionals of Itô Processes as Stochastic Integrals

DOI10.1137/0316016zbMATH Open0375.60070OpenAlexW1967254555MaRDI QIDQ4155580FDOQ4155580

Authors: Ulrich G. Haussmann 

Publication date: 1978

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/0316016

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Cited In (15)

• An extension of the Clark–Haussmann formula and applications
• Functionals of diffusion processes as stochastic integrals
• On the integral representation of functionals of ltd processest
• Calcul des variations stochastique et processus de sauts
• A discrete-time Clark-Ocone formula for Poisson functionals
• On volatility of prices in arbitrage-free markets
• Functional Itō calculus and stochastic integral representation of martingales
• Malliavin's calculus and stochastic integral representations of functional of diffusion processes^†
• The Malliavin calculus, a functional analytic approach
• Differentiable measures and the Malliavin calculus
• An extension of the Clark-Ocone formula under benchmark measure for Lévy processes
• Solvability of the Schrödinger equation by stochastic integration of magnetic fields
• A \(\mathbb{C}^{0, 1}\)-functional Itô's formula and its applications in mathematical finance
• Martingales, the Malliavin calculus and hypoellipticity under general H�rmander's conditions
• A simplified proof of the representation of functionals of diffusions

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