The Representation of Functionals of Brownian Motion by Stochastic Integrals

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

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