On martingale representations of non-smooth Brownian functionals

DOI10.1007/S10958-024-07128-7MaRDI QIDQ6579977zbMATH OpenFDO

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)

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Cites work

• scientific article; zbMATH DE number 6533160 (Why is no real title available?)
• scientific article; zbMATH DE number 3473086 (Why is no real title available?)
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• Hedging of the European option with nonsmooth payment function
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• Multiple Wiener integral
• On One Integral Representation of Functionals of Brownian Motion
• On the Problem of Stochastic Integral Representations of Functionals of the Brownian Motion. I
• On the Problem of Stochastic Integral Representations of Functionals of the Brownian Motion. II
• On the integral representation of functionals of ltd processest
• Stochastic calculus with anticipating integrands
• The Malliavin Calculus and Related Topics
• The Representation of Functionals of Brownian Motion by Stochastic Integrals

Cited in

(1)

• Nonlinear filtering problem and martingale representation

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