Open AccessA Haussmann-Clark-Ocone formula for functionals of diffusion processes with Lipschitz coefficients
Author(s) -
Khaled Bahlali,
Brahim Mezerdi,
Youssef Ouknine
Publication year - 2002
Publication title -
international journal of stochastic analysis
Language(s) - English
Resource type - Journals
eISSN - 2090-3340
pISSN - 2090-3332
DOI - 10.1155/s1048953302000291
Subject(s) - mathematics , lipschitz continuity , brownian motion , martingale (probability theory) , diffusion process , representation (politics) , diffusion , mathematical analysis , pure mathematics , statistics , innovation diffusion , physics , thermodynamics , computer science , knowledge management , politics , political science , law
We establish a martingale representation formula for functionals of diffusionprocesses with Lipschitz coefficients, as stochastic integrals with respect to theBrownian motion
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