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

DOI10.1016/J.SPA.2012.03.010MaRDI QIDQ429294zbMATH OpenOpenAlexWikidataFDO

Authors M. Pratelli, Dario Trevisan

Publication date 19 June 2012

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

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

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)

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.

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Cites work

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• Wiener functionals as Ito integrals

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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