On the smoothness of conditional mean of some stochastically nonsmooth functionals

zbMATH Open1373.60097MaRDI QIDQ5354841FDOQ5354841

Authors:

Publication date: 4 September 2017

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zbMATH Keywords

stochastic derivativeWiener functionalClark-Ocone's formulaClark's integral representation formula

Mathematics Subject Classification ID

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

Cited In (8)

• On the representation of functionals on a Wiener field
• Title not available (Why is that?)
• Title not available (Why is that?)
• On the smoothness of conditional expectation functionals
• Title not available (Why is that?)
• Stochastic integral representation of one stochastically non-smooth Wiener functional
• Title not available (Why is that?)
• Title not available (Why is that?)

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