Stochastic integral representations of Brownian functionals

Author: Omar Purtukhia
Keywords: Brownian functional, Malliavin derivative, stochastic integral representation, Ocone-Haussmann-Clark formula.
Annotation:

The existing methods of obtaining of stochastic integral representations for stochastically smooth Brownian functionals are considered and new methods of obtaining of stochastic integral representations for stochastically non smooth Brownian functionals are offered.

Lecture files:

Stochastic integral representations of Brownian functionals [en]
ბროუნის ფუნქციონალების სტოქასტური ინტეგრალური წარმოდგენების შესახებ [ka]