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

M. Pratelli and D. Trevisan

Stochastic Processes and their Applications, 2012, vol. 122, issue 6, 2383-2399

Abstract: We prove an extension of the Ocone–Karatzas integral representation, valid for all BV 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 BV composite random variables.

Keywords: BV functions; Wiener space; Ocone–Karatzas formula (search for similar items in EconPapers)
Date: 2012
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Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:122:y:2012:i:6:p:2383-2399

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DOI: 10.1016/j.spa.2012.03.010

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