Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1155763 | Stochastic Processes and their Applications | 2012 | 17 Pages |
Abstract
We prove an extension of the Ocone–Karatzas integral representation, valid for all BVBV 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 BVBV composite random variables.
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Physical Sciences and Engineering
Mathematics
Mathematics (General)
Authors
M. Pratelli, D. Trevisan,