scientific article; zbMATH DE number 7564035

MaRDI QIDQ5091355zbMATH OpenFDO

Authors Sandro Davadze, Maya Giorgadze, O. Purtukhia

Publication date 26 July 2022

Full work available at URL http://www.viam.science.tsu.ge/enl_ses/vol34/Davadze_Giorgadze_Purtukhia.pdf

zbMATH Keywords

Brownian functionalClark-Ocone formulaMalliavin stochastic derivativestochastic integral representation

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Applications of stochastic analysis (to PDEs, etc.) (60H30) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cited in

(7)

• Explicit stochastic integral representations for historical functionals
• On One Integral Representation of Functionals of Brownian Motion
• Stochastic integral representations of the extrema of time-homogeneous diffusion processes
• Explicit Martingale Representations for Brownian Functionals and Applications to Option Hedging
• Stochastic integral representation of past-dependent non-smooth Brownian functionals
• Integral representation of generalized grey Brownian motion
• On the stochastic integral representation of Brownian functionals

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