Advanced search
Publication Cover
Stochastics Volume 3, 1980 - Issue 1-4
Journal homepage
75
Views
43
CrossRef citations to date
0
Altmetric
Original Articles

On the integral representation of functionals of ltd processest

U. G. Haussmann Department of Mathematics, University of British Columbia, Vancouver , V6T 1W5, Canada
Pages 17-27 | Received 02 Jun 1978, Published online: 22 Dec 2010

Citations (43)

Keep up to date with the latest research on this topic with citation updates for this article.

Subscribe to citation updates

Read on this site (8)

Jean-François Renaud & Bruno Rémillard. (2007) Explicit Martingale Representations for Brownian Functionals and Applications to Option Hedging. Stochastic Analysis and Applications 25:4, pages 801-820.
Read now
G. Di Nunno. (2002) Stochastic integral representations, stochastic derivatives and minimal variance hedging. Stochastics and Stochastic Reports 73:1-2, pages 181-198.
Read now
Nigel J. Cutland, P. Ekkehard Kopp & Walter Willinger. (1995) From discrete to continuous stochastic calculus. Stochastics and Stochastic Reports 52:3-4, pages 173-192.
Read now
Ying Hu. (1993) A generalized Haussmann's formula. Stochastic Analysis and Applications 11:1, pages 49-60.
Read now
Ioannis Karatzas, Daniel L Ocone & Jinlu Li. (1991) An extension of clark' formula. Stochastics and Stochastic Reports 37:3, pages 127-131.
Read now
Daniel L. Ocone & Ioannis Karatzas. (1991) A generalized clark representation formula, with application to optimal portfolios. Stochastics and Stochastic Reports 34:3-4, pages 187-220.
Read now
Nualart David & Moshezakai Zakai. (1988) Generalized multiple stochastic integrals and the representation of wiener functionals. Stochastics 23:3, pages 311-330.
Read now
Daniel Ocone. (1984) Malliavin's calculus and stochastic integral representations of functional of diffusion processes . Stochastics 12:3-4, pages 161-185.
Read now

Articles from other publishers (35)

Ekaterine Namgalauri & Omar Purtukhia. (2023) On the stochastic integral representation of Brownian functionals. Georgian Mathematical Journal 30:3, pages 417-424.
Crossref
Elisa Alòs & Jorge A. León. (2021) An Intuitive Introduction to Fractional and Rough Volatilities. Mathematics 9:9, pages 994.
Crossref
Tak Kuen Siu. (2014) Integration by Parts and Martingale Representation for a Markov Chain. Abstract and Applied Analysis 2014, pages 1-11.
Crossref
Rama Cont & David-Antoine Fournié. (2013) Functional Itô calculus and stochastic integral representation of martingales. The Annals of Probability 41:1.
Crossref
Jin Ma, Jiongmin Yong & Yanhong Zhao. (2010) Four step scheme for general Markovian forward-backward SDES. Journal of Systems Science and Complexity 23:3, pages 546-571.
Crossref
Rama Cont & David Fournie. (2010) A functional extension of the Ito formula. Comptes Rendus Mathematique 348:1-2, pages 57-61.
Crossref
GIULIA DI NUNNO. (2012) RANDOM FIELDS: NON-ANTICIPATING DERIVATIVE AND DIFFERENTIATION FORMULAS. Infinite Dimensional Analysis, Quantum Probability and Related Topics 10:03, pages 465-481.
Crossref
Tadeusz Banek. (2003) Diffusions, their derivatives and expansions in Wiener chaos. Systems & Control Letters 49:4, pages 279-294.
Crossref
L. C. G. Rogers & David Williams. 2014. Diffusions, Markov Processes and Martingales. Diffusions, Markov Processes and Martingales.
V. I. Bogachev. (1997) Differentiable measures and the Malliavin calculus. Journal of Mathematical Sciences 87:4, pages 3577-3731.
Crossref
Ayman Hindy. (1995) On volatility of prices in arbitrage-free markets. Economic Theory 6:3, pages 421-438.
Crossref
Nigel J. Newton. (1994) Variance Reduction for Simulated Diffusions. SIAM Journal on Applied Mathematics 54:6, pages 1780-1805.
Crossref
Jin Ma, Philip Protter & Jiongmin Yong. (1994) Solving forward-backward stochastic differential equations explicitly — a four step scheme. Probability Theory and Related Fields 98:3, pages 339-359.
Crossref
Avi Bick & Walter Willinger. (1994) Dynamic spanning without probabilities. Stochastic Processes and their Applications 50:2, pages 349-374.
Crossref
M. P. Spathopoulos. 1990. Realization and Modelling in System Theory. Realization and Modelling in System Theory 521 527 .
Ata N. Al-Hussaini. (1989) A simplified proof of the representation of functionals of diffusions. Applied Mathematics & Optimization 20:1, pages 63-69.
Crossref
Robert J. Elliott & Michael Kohlmann. (1988) A short proof of a martingale representation result. Statistics & Probability Letters 6:5, pages 327-329.
Crossref
M H A Davis. (1988) The Wiener space derivative for functionals of diffusions on manifolds. Nonlinearity 1:1, pages 241-251.
Crossref
Daniel L. Ocone. 1988. Stochastic Analysis and Related Topics. Stochastic Analysis and Related Topics 1 79 .
M. H. A. Davis & Guillermo L. Gómez M.. 1987. Stochastic Processes — Mathematics and Physics II. Stochastic Processes — Mathematics and Physics II 36 74 .
Dominique Michel. 1984. Stochastic Analysis, Proceedings of the Taniguchi International Symposium on Stochastic Analysis. Stochastic Analysis, Proceedings of the Taniguchi International Symposium on Stochastic Analysis 387 408 .
Jean-Michel Bismut. 1984. Stochastic Analysis, Proceedings of the Taniguchi International Symposium on Stochastic Analysis. Stochastic Analysis, Proceedings of the Taniguchi International Symposium on Stochastic Analysis 53 104 .
Nobuyuki Ikeda & Shinzo Watanabe. 1984. Stochastic Analysis, Proceedings of the Taniguchi International Symposium on Stochastic Analysis. Stochastic Analysis, Proceedings of the Taniguchi International Symposium on Stochastic Analysis 1 52 .
Jean-Michel Bismut. (1983) Calcul des variations stochastique et processus de sauts. Zeitschrift f�r Wahrscheinlichkeitstheorie und Verwandte Gebiete 63:2, pages 147-235.
Crossref
R. F. Bass. 1983. Seminar on Stochastic Processes, 1982. Seminar on Stochastic Processes, 1982 51 96 .
Jean-Michel Bismut & Dominique Michel. (1982) Diffusions conditionnelles. II. Générateur conditionnel. Application au filtrage. Journal of Functional Analysis 45:2, pages 274-292.
Crossref
J. M. Bismut, L. Gross & K. KrickebergJ. M. Bismut. 1982. Ecole d'Eté de Probabilités de Saint-Flour X - 1980. Ecole d'Eté de Probabilités de Saint-Flour X - 1980 1 100 .
Jean-Michel Bismut. 1982. Stochastic Differential Systems. Stochastic Differential Systems 33 72 .
Jean-Michel Bismut & Dominique Michel. (1981) Diffusions conditionnelles. I. Hypoellipticit? partielle. Journal of Functional Analysis 44:2, pages 174-211.
Crossref
U. G. Haussmann. (1981) On the Adjoint Process for Optimal Control of Diffusion Processes. SIAM Journal on Control and Optimization 19:2, pages 221-243.
Crossref
Jean-Michel Bismut. 1981. Stochastic Integrals. Stochastic Integrals 85 109 .
Jean -Michel Bismut. (1981) Martingales, the Malliavin calculus and hypoellipticity under general H�rmander's conditions. Zeitschrift f�r Wahrscheinlichkeitstheorie und Verwandte Gebiete 56:4, pages 469-505.
Crossref
M. H. A. Davis. (2008) Functionals of diffusion processes as stochastic integrals. Mathematical Proceedings of the Cambridge Philosophical Society 87:1, pages 157-166.
Crossref
Sebastien Roland. (2005) Optimal Policies from Prices Observed at Random Times. SSRN Electronic Journal.
Crossref
Lars Peter Hansen, Jaroslav Borovička, Mark Hendricks & Jose A. Scheinkman. (2009) Risk Price Dynamics. SSRN Electronic Journal.
Crossref

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Order Reprints Request Corporate Permissions

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

Request Academic Permissions

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.

Related research

People also read lists articles that other readers of this article have read.

Recommended articles lists articles that we recommend and is powered by our AI driven recommendation engine.

Cited by lists all citing articles based on Crossref citations.
Articles with the Crossref icon will open in a new tab.