A functional extension of the Ito formula

DOI10.1016/j.crma.2009.11.013zbMath1202.60082OpenAlexW4301667716MaRDI QIDQ847101

Publication date: 12 February 2010

Published in: Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.crma.2009.11.013

zbMATH Keywords

Clark-Haussmann-Ocone formula functional Itô formula non-anticipative martingale representation pathwise calculus

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44) Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07)

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Cites Work