Article ID Journal Published Year Pages File Type
1155763 Stochastic Processes and their Applications 2012 17 Pages PDF
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.

Related Topics
Physical Sciences and Engineering Mathematics Mathematics (General)
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