The Clark-Ocone formula for vector valued Wiener functionals

DOI10.1016/J.JFA.2004.11.012MaRDI QIDQ2577512zbMATH OpenOpenAlexFDO

Authors Eddy Mayer-Wolf, Moshe Zakai

Publication date 22 December 2005

Published in Journal of Functional Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jfa.2004.11.012

zbMATH Keywords

measure preserving transformationsBanach space valued random variablesweakly adapted operators

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Random operators and equations (aspects of stochastic analysis) (60H25)

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• A class of anticipative tangent processes on the Wiener space
• An extension of clark' formula
• Anticipating flows on the Wiener space generated by vector fields of low regularity
• Embedding the abstract Wiener space in a probability space
• Flows associated to tangent processes on the Wiener space
• Malliavin's calculus and stochastic integral representations of functional of diffusion processes^†
• On Square Integrable Martingales
• On the Clark Ocone formula for the abstract Wiener space
• On the convergence of sums of independent Banach space valued random variables
• Quasi sure analysis of stochastic flows and Banach space valued smooth functionals on the Wiener space
• Sobolev spaces of Banach-valued functions associated with a Markov process
• The Representation of Functionals of Brownian Motion by Stochastic Integrals
• The construction of filtrations on abstract Wiener space
• The divergence of Banach space valued random variables on Wiener space
• Transformation of the Wiener measure under non-invertible shifts

Cited in

(21)

• Banach space valued functionals of the Wiener process
• Representation of the distributions on Wiener space and stochastic calculus of variations
• Fluctuations of the solutions to the KPZ equation in dimensions three and higher
• Weak approximations for Wiener functionals
• A discrete-time Clark-Ocone formula for Poisson functionals
• Functions of bounded variation on the classical Wiener space and an extended Ocone-Karatzas formula
• A generalization of the Buckdahn-Föllmer formula for composite transformations defined by finite dimensional substitution
• Corrigendum to ``The Clark-Ocone formula for vector valued Wiener functionals [J. Funct. Anal. 229 (2005) 143-154]
• On the Clark Ocone formula for the abstract Wiener space
• Wick product and Clark-Ocone formula in abstract Wiener space
• Stable convergence of multiple Wiener--Itô integrals
• Banach space valued functionals of the one dimensional Wiener process
• Clark representation formula for the solution to equation with interaction
• A clark-ocone formula in UMD Banach spaces
• Tools for Malliavin calculus in UMD Banach spaces
• Forward integration, convergence and non-adapted pointwise multipliers
• The divergence of Banach space valued random variables on Wiener space
• Clark-Ocone formula and variational representation for Poisson functionals
• The Sard inequality on Wiener space
• A generalized Clark-Ocone formula
• Generalised Clark-Ocone formulae for differential forms

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