On the smoothness of conditional mean of some stochastically nonsmooth functionals

MaRDI QIDQ5354841zbMATH OpenFDO

Authors

Publication date 4 September 2017

zbMATH Keywords

Clark's integral representation formulaClark-Ocone's formulastochastic derivativeWiener functional

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

(8)

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

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