论文信息 - An extension of clark' formula - 字舞流文

An extension of clark' formula

The representation formula of Clark (1970) and Haussmann (1979) is established for Brownian functional in the space D1.1

Ioannis Karatzas | Daniel Ocone | Jinlu Li

[1] D. Ocone. A guide to the stochastic calculus of variations , 1988 .

[2] Jia-An Yan. Developpement des distributions suivant les chaos de wiener et applications a l'analyse stochastique , 1987 .

[3] A. Üstünel. Representation of the distributions on Wiener space and stochastic calculus of variations , 1987 .

[4] Daniel Ocone,et al. Malliavin's calculus and stochastic integral representations of functional of diffusion processes † , 1984 .

[5] I. Karatzas,et al. A generalized clark representation formula, with application to optimal portfolios , 1991 .

[6] U. Haussmann. On the integral representation of functionals of ltd processest , 1980 .

[7] L. Rogers,et al. Diffusions, Markov processes, and martingales , 1979 .

[8] J. M. Clark,et al. The Representation of Functionals of Brownian Motion by Stochastic Integrals , 1970 .

[9] David Nualart,et al. Stochastic calculus with anticipating integrands , 1988 .

[10] Ioannis Karatzas,et al. Brownian Motion and Stochastic Calculus , 1987 .