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.
Functions of Bounded Variation on the classical Wiener space and an extended Ocone-Karatzas formula.
PRATELLI, MAURIZIO;TREVISAN, DARIO
2012-01-01
Abstract
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.File in questo prodotto:
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