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      A Haussmann-Clark-Ocone formula for functionals of diffusion processes with Lipschitz coefficients

      Author(s): , ,
      Publication date Created:
      Publication date (Print):
      Journal: Journal of Applied Mathematics and Stochastic Analysis
      Publisher: Hindawi Limited

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          Abstract

          We establish a martingale representation formula for functionals of diffusion processes with Lipschitz coefficients, as stochastic integrals with respect to the Brownian motion.

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          The Representation of Functionals of Brownian Motion by Stochastic Integrals

          J. M. C. Clark (1970)
          Article 0 comments Cited 33 times – based on 0 reviews     Review now
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            Malliavin's calculus and stochastic integral representations of functional of diffusion processes†

            Daniel Ocone (2007)
            Article 0 comments Cited 23 times – based on 0 reviews     Review now
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              Author and article information

              Journal
              Title: Journal of Applied Mathematics and Stochastic Analysis
              Abbreviated Title: Journal of Applied Mathematics and Stochastic Analysis
              Publisher: Hindawi Limited
              ISSN (Print): 1048-9533
              ISSN (Electronic): 1687-2177
              Publication date Created: 2002
              Publication date (Print): 2002
              Volume: 15
              Issue: 4
              Pages: 357-370
              Article
              DOI: 10.1155/S1048953302000291
              SO-VID: db6a6bc8-8004-4398-ade3-91d8b65ccb85
              Copyright © © 2002
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              http://creativecommons.org/licenses/by/3.0/

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