Functions of bounded variation on the classical Wiener space and an extended Ocone–Karatzas formula

We prove an extension of the Ocone–Karatzas integral representation, valid for all BV 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 BV composite random variables.

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Year of publication:	2012
Authors:	Pratelli, M. ; Trevisan, D.
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 122.2012, 6, p. 2383-2399
Publisher:	Elsevier
Subject:	BV functions \| Wiener space \| Ocone–Karatzas formula

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010577833