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Publicação
A generalized clark-ocone formula
Orientador(es)
Resumo(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.
Descrição
60H25 (60H07 60H40 60J55 60J65)
Palavras-chave
Clark-ocone formula White noise analysis
Contexto Educativo
Citação
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
Editora
de Gruyter