An extension of the Clark-Ocone formula

Said Ngobi and Aurel Stan

International Journal of Mathematics and Mathematical Sciences, 2004, vol. 2004, 1-14

Abstract:

A white noise proof of the classical Clark-Ocone formula is first provided. This formula is proven for functions in a Sobolev space which is a subset of the space of square-integrable functions over a white noise space. Later, the formula is generalized to a larger class of operators.

Date: 2004
References: Add references at CitEc
Citations:

Downloads: (external link)
http://downloads.hindawi.com/journals/IJMMS/2004/840438.pdf (application/pdf)
http://downloads.hindawi.com/journals/IJMMS/2004/840438.xml (text/xml)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hin:jijmms:840438

DOI: 10.1155/S0161171204304230

Access Statistics for this article

More articles in International Journal of Mathematics and Mathematical Sciences from Hindawi
Bibliographic data for series maintained by Mohamed Abdelhakeem ().