Clark representation formula for the solution to equation with interaction

zbMath1488.60171arXiv2103.04879MaRDI QIDQ5018644

Andrey A. Dorogovtsev, Jasmina Djordjević

Publication date: 21 December 2021

Full work available at URL: https://arxiv.org/abs/2103.04879

zbMATH Keywords

Clark-Ocone formula; Clark representation; stochastic differential equations with interaction

Mathematics Subject Classification ID

93E10: Estimation and detection in stochastic control theory

93E03: Stochastic systems in control theory (general)

60H07: Stochastic calculus of variations and the Malliavin calculus

60H35: Computational methods for stochastic equations (aspects of stochastic analysis)