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1. Functions of bounded variation on the classical Wiener space and an extended Ocone–Karatzas formula

Author

Pratelli, M. and Trevisan, D.

Subjects
*FUNCTIONS of bounded variation, *MATHEMATICAL analysis, *INTEGRAL representations, *RANDOM variables, *ALGEBRAIC number theory, *MATHEMATICAL variables
Abstract

Abstract: We prove an extension of the Ocone–Karatzas integral representation, valid for all functions on the classical Wiener space. We also establish an elementary chain rule formula and combine the two results to compute explicit integral representations for some classes of composite random variables. [Copyright &y& Elsevier]

Published
2012
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