Stochastic integral representation of path-dependent non-smooth Brownian functionals

MaRDI QIDQ5091402zbMATH OpenFDO

Authors Badri Mamporia, Ekaterine Namgalauri, O. Purtukhia

Publication date 26 July 2022

Full work available at URL http://www.viam.science.tsu.ge/enl_ses/vol35/Mamporia_Namgalauri_Purtukhia.pdf

zbMATH Keywords

stochastic integral representationClark-Ocone formulaMalliavin's derivative

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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(12)

• A Haussmann-Clark-Ocone formula for functionals of diffusion processes with Lipschitz coefficients
• scientific article; zbMATH DE number 7564035 (Why is no real title available?)
• On the smoothness of conditional mean of some stochastically nonsmooth functionals
• Stochastic integral representation of one nonsmooth Brownian functional
• About one method of stochastic integral representation of Brownian functional
• scientific article; zbMATH DE number 1408901 (Why is no real title available?)
• Stochastic integral representation of one stochastically non-smooth Wiener functional
• On the stochastic integral representation of Brownian functionals
• Explicit stochastic integral representations for historical functionals
• Stochastic integral representation of past-dependent non-smooth Brownian functionals
• On the representation of certain classes of stochastic Itô integrals in the form of pathwise Lebesgue integrals
• Nonlinear filtering problem and martingale representation

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