On the smoothness of conditional mean of some stochastically nonsmooth functionals

MaRDI QIDQ5354841zbMATH OpenFDO

Authors

Publication date 4 September 2017

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)

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Cited in

(8)

• On the smoothness of conditional expectation functionals
• scientific article; zbMATH DE number 1409850 (Why is no real title available?)
• scientific article; zbMATH DE number 1409837 (Why is no real title available?)
• scientific article; zbMATH DE number 1408901 (Why is no real title available?)
• scientific article; zbMATH DE number 4011568 (Why is no real title available?)
• scientific article; zbMATH DE number 3965115 (Why is no real title available?)
• Stochastic integral representation of one stochastically non-smooth Wiener functional
• On the representation of functionals on a Wiener field

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