Constructive stochastic integral representation of some path-dependent Brownian functional

MaRDI QIDQ6657129zbMATH OpenFDO

Authors Ekaterine Namgalauri, O. Purtukhia

Publication date 6 January 2025

Published in Reports of Enlarged Sessions of the Seminar of I. Vekua Institute of Applied Mathematics (Search for Journal in Brave)

zbMATH Keywords

Clark-Ocone formulaMalliavin stochastic derivativepast-dependent Brownian functionalstochastic integral representation

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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