A Stochastic Integral Representation for Functionals of Diffusions on Manifolds
Author:
Spathopoulos M. P.
Publisher
Birkhäuser Boston
Reference8 articles.
1. J.M.C. Clark, The representation of functionals of Brownian motion by stochastic integrals, Ann. Math. Stat. 41 (1070) 1282–1295.
2. M.H.A. Davis, The Wiener Space Derivative for functionals of Diffusions on Manifolds, Nonlinearity 1, 1988.
3. M.H.A. Davis and M.P. Spathopoulos, On the minimum principle for controlled diffusions on manifolds. SIAM J. Control and Opt, Vol. 27, No. 5, 1989.
4. M.H.A. Davis, Functionals of diffusion processes as stochastic integrals, Math. Proc. Camb. Phil. Soc.. 87 (1980) 157–166.
5. U.G. Haussmann, Functionals of Ito processes as stochastic integrals, SIAM J. Control and Optimization 16 (1978) 252–269.