On martingale representations of non-smooth Brownian functionals

DOI10.1007/S10958-024-07128-7zbMATH Open1546.60102MaRDI QIDQ6579977FDOQ6579977

Authors: Valeri Berikashvili, Valeriane Jokhadze, Ekaterine Namgalauri, O. Purtukhia 

Publication date: 29 July 2024

Published in: Journal of Mathematical Sciences (New York) (Search for Journal in Brave)

zbMATH Keywords

martingale representationClark-Ocone formulaMalliavin (stochastic) derivativeGlonti-Purtukhia formula

Mathematics Subject Classification ID

Brownian motion (60J65) Stochastic integrals (60H05)

Cites Work

• The Malliavin Calculus and Related Topics
• Stochastic calculus with anticipating integrands
• Multiple Wiener integral
• On the Problem of Stochastic Integral Representations of Functionals of the Brownian Motion. II
• Explicit Martingale Representations for Brownian Functionals and Applications to Option Hedging
• On the Problem of Stochastic Integral Representations of Functionals of the Brownian Motion. I
• Malliavin's calculus and stochastic integral representations of functional of diffusion processes^†
• An extension of clark' formula
• The Representation of Functionals of Brownian Motion by Stochastic Integrals
• On the integral representation of functionals of ltd processest
• Title not available (Why is that?)
• On One Integral Representation of Functionals of Brownian Motion
• Hedging of the European option with nonsmooth payment function
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