The Representation of Functionals of Brownian Motion by Stochastic Integrals

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Optimal investment with deferred capital gains taxes
Martingales and stochastic integrals for processes with a multi-dimensional parameter
Functionals of diffusion processes as stochastic integrals
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An integral representation of the local time of the Brownian motion via the Clark-Ocone formula
Stochastic integral representation of some martingales
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Asset and commodity prices with multi-attribute durable goods
Clark-Ocone Formula for Fractional Brownian Motion with Hurst Parameter Less Than 1/2
Optimal portfolio positioning within generalized Johnson distributions
Transformations of diffusion and Schrödinger processes
Conditioned stochastic differential equations: theory, examples and application to finance.
Martingale representation for Poisson processes with applications to minimal variance hedging
Clark representation for local times of self-intersection of Gaussian integrators
A discrete-time Clark-Ocone formula for Poisson functionals
Weitzenböck and Clark-Ocone Decompositions for Differential Forms on the Space of Normal Martingales
Explicit stochastic integral representation of path-dependent Brownian functionals
Some properties of the parameterization of ARMA systems with unknown order
On martingale representations of non-smooth Brownian functionals
Generalized multiple stochastic integrals and the representation of wiener functionals
The Clark-Ocone formula for vector valued Wiener functionals
A functional extension of the Ito formula
Functional Itō calculus and stochastic integral representation of martingales
Double martingales
A stochastic minimum principle
Gaussian approximations of Brownian motion in a stochastic integral
Martingales and stochastic integrals in the theory of continuous trading
The full replica symmetry breaking in the Ising spin glass on random regular graph
Explicit Martingale Representations for Brownian Functionals and Applications to Option Hedging
On the Clark Ocone formula for the abstract Wiener space
Poincaré-type inequalities via stochastic integrals
On securitization, market completion and equilibrium risk transfer
Stochastic integral representations, stochastic derivatives and minimal variance hedging
Support d'un processus de r�flexion
On the stochastic integral representation of Brownian functionals
A generalized clark representation formula, with application to optimal portfolios
Differentiable measures and the Malliavin calculus
Quantum stochastic calculus with maximal operator domains.
On the predictable representation property of martingales associated with Lévy processes
White noise generalization of the Clark-Ocone formula under change of measure
Dynamic spanning without probabilities
A variational problem arising in financial economics
An extension of the Clark-Ocone formula under benchmark measure for Lévy processes
Stochastic integrals for martingales of a jump process with partially accessible jump times
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A discrete-time Clark-Ocone formula and its application to an error analysis
A partial introduction to financial asset pricing theory.
Time reversal and reflected diffusions
A TAYLOR FORMULA TO PRICE AND HEDGE EUROPEAN CONTINGENT CLAIMS
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Constructive martingale representation of non-smooth exponential path-dependent Brownian functionals
Estimation of vector Armax models
Optimal asset allocation with fixed-term securities
Consumption and portfolio policies with incomplete markets and short-sale constraints: The infinite dimensional case
Hedging Problem for Asian Call Options with Transaction Costs
Hedging of the European option with nonsmooth payment function
Martingale structure of Skorohod integral processes
A functional Itō-formula for Dawson-Watanabe superprocesses
A Girsanov transformed Clark-Ocone-Haussmann type formula for \(L^1\)-pure jump additive processes and its application to portfolio optimization
Diffusions, their derivatives and expansions in Wiener chaos
Mollifier approximation of Brownian motion in stochastic integral
Innovation projections of a jump process and local martingales
Semimartingale integral representation
Central limit theorems for divergent higher-order Hermite integrals of Brownian motion
Quasi-invariant theorem on the Gaussian path space
An adaptive algorithm for optimal non-linear estimation in stochastic systems
Generalized holomorphic processes and differentiability
Solvability of the Schrödinger equation by stochastic integration of magnetic fields
Martingale representation theorem for \(G\)-Brownian motion
Integration by parts and martingale representation for a Markov chain
Semi-martingale inequalities via the Garsia-Rodemich-Rumsey lemma, and applications to local times
Embedding and asymptotic expansions for martingales
Estimating the dimension of a linear system
A \(\mathbb{C}^{0, 1}\)-functional Itô's formula and its applications in mathematical finance
Stochastic Processes in the Decades after 1950
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A simplified proof of the representation of functionals of diffusions
Martingales, the Malliavin calculus and hypoellipticity under general H�rmander's conditions
Information structure and equilibrium asset prices
A representation theorem for smooth Brownian martingales
RANDOM FIELDS: NON-ANTICIPATING DERIVATIVE AND DIFFERENTIATION FORMULAS
De Rham-Hodge decomposition and vanishing of harmonic forms by derivation operators on the Poisson space
On One Integral Representation of Functionals of Brownian Motion
The predictable representation property of compensated-covariation stable families of martingales
Symmetric stochastic integrals and their approximations
Weak approximation of martingale representations
A characterization of hedging portfolios for interest rate contingent claims.
A generalized Haussmann's formula

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