Functions of bounded variation on the classical Wiener space and an extended Ocone-Karatzas formula

DOI10.1016/J.SPA.2012.03.010zbMATH Open1255.60089arXiv1109.5071OpenAlexW2045522364WikidataQ62043503 ScholiaQ62043503MaRDI QIDQ429294FDOQ429294

Authors: M. Pratelli, Dario Trevisan 

Publication date: 19 June 2012

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Abstract: We prove an extension of the Ocone-Karatzas integral representation, valid for all $BV$ functions on the classical Wiener space. We establish also an elementary chain rule formula and combine the two results to compute explicit integral representations for some classes of $BV$ composite random variables.

Full work available at URL: https://arxiv.org/abs/1109.5071

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zbMATH Keywords

Malliavin calculusWiener spaceBV functionsOcone-Karatzas formula

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Brownian motion (60J65) Set functions and measures and integrals in infinite-dimensional spaces (Wiener measure, Gaussian measure, etc.) (28C20)

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Cited In (3)

• A generalization of the Buckdahn-Föllmer formula for composite transformations defined by finite dimensional substitution
• On the Clark Ocone formula for the abstract Wiener space
• Martingale Representation of Functionals of Lévy Processes

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