A Haussmann-Clark-Ocone formula for functionals of diffusion processes with Lipschitz coefficients

Khaled Bahlali, Brahim Mezerdi and Youssef Ouknine

International Journal of Stochastic Analysis, 2002, vol. 15, 1-14

Abstract:

We establish a martingale representation formula for functionals of diffusion processes with Lipschitz coefficients, as stochastic integrals with respect to the Brownian motion.

Date: 2002
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnijsa:459650

DOI: 10.1155/S1048953302000291

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