Functionals of diffusion processes as stochastic integrals-Reference-Cited by-同舟云学术

Functionals of diffusion processes as stochastic integrals

Published:1980-01 Issue:1 Volume:87 Page:157-166
ISSN:0305-0041
Container-title:Mathematical Proceedings of the Cambridge Philosophical Society
language:en
Short-container-title:Math. Proc. Camb. Phil. Soc.

Author:

Davis M. H. A.

Abstract

Let be a standard d-dimensional Brownian motion and L a smooth functional on the space C = Cd[0, 1] of continuous functions from [0,1] to Rd, such that Denote Then

is a square integrable martingale which can be represented as a stochastic integral; consequently the random variable has the representation

For Fréchet differentiable functions L, Clark(1) gave the following formula for the integrand e:

Publisher

Cambridge University Press (CUP)

Subject

General Mathematics

Reference5 articles.

1. The Representation of Functionals of Brownian Motion by Stochastic Integrals

2. Functionals of Itô Processes as Stochastic Integrals

3. On the integral representation of functionals of ltd processest

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