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

BV functionsMalliavin calculusOcone-Karatzas formulaWiener space

Mathematics Subject Classification ID

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

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.

Review text

The aim of this article is to slightly extend the Clark-Ocone (or Ocone-Karatzas) formula, very classical in Malliavin calculus, to functions which need not be smooth in the Malliavin sense (more precisely, in \(\mathbb{D}^{1,1}\)). Thus the authors consider so-called ``functions of bounded variation on the Wiener space, namely those functions \(f\) that admit an \(L^2[0,T)\)-valued measure, still denoted by \(Df\), such that the formal integration by parts formula still holds. Such functions are also characterized as the \(L^1\)-limits of sequences which are bounded in \(\mathbb{D}^{1,1}\).NEWLINENEWLINE After the proof of the extended Clark-Ocone-Karatzas formula, the authors provide a chain rule formula and two examples of explicit representation of the density of \(Df\).

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Cites work

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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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