Functionals of Itô Processes as Stochastic Integrals

DOI10.1137/0316016MaRDI QIDQ4155580zbMATH OpenOpenAlexFDO

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)

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

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