On the Clark integral representation of functionals of Brownian motion with explicit view of integrand

Author: omar Glonti
Co-authors: Omar Purtukhia
Keywords: Brownian functional, Clark-Ocone representation
Annotation:

The Clark integral representation formula with explicit form of integrand for the square integrable Brownian functionals with the Malliavin differentiable conditional expectations is given. As an examples are considered the functionals that have not Malliavin derivative.

Lecture files:

On the Clark integral representation of functionals of Brownian motion with explicit view of integrand [en]
კლარკის ინტეგრალური წარმოდგენა ფუნქციონალებებისათვის ბროუნის მოძრაობიდან ცხადი სახის ინტეგრანდით [ka]