A generalized clark-ocone formula

Faria, Margarida de; Oliveira, Maria João; Streit, Ludwig

http://hdl.handle.net/10400.2/1658

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Authors

Faria, Margarida de

Oliveira, Maria João

Streit, Ludwig

Abstract(s)

We extend the Clark-Ocone formula to a suitable class of generalized Brownian functionals. As an example we derive a representation of Donsker's delta function as (limit of) a stochastic integral.

Description

60H25 (60H07 60H40 60J55 60J65)

Keywords

Clark-ocone formula White noise analysis

URI

http://hdl.handle.net/10400.2/1658

Citation

Faria, Margarida de; Oliveira, Maria João; Streit, Ludwing - A generalized clark-ocone formula. "Random Operators and Stochastic Equations" [Em linha]. ISSN 096-6362 (Print) 1569-397X (Online). Vol. 8, nº 2 (2000), p. 163-174