A Haussmann-Clark-Ocone formula for functionals of diffusion processes with Lipschitz coefficients.
Bahlali, Khaled; Mezerdi, Brahim; Ouknine, Youssef
Journal of Applied Mathematics and Stochastic Analysis (2002)
- Volume: 15, Issue: 4, page 371-383
- ISSN: 2090-3332
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topBahlali, Khaled, Mezerdi, Brahim, and Ouknine, Youssef. "A Haussmann-Clark-Ocone formula for functionals of diffusion processes with Lipschitz coefficients.." Journal of Applied Mathematics and Stochastic Analysis 15.4 (2002): 371-383. <http://eudml.org/doc/50554>.
@article{Bahlali2002,
author = {Bahlali, Khaled, Mezerdi, Brahim, Ouknine, Youssef},
journal = {Journal of Applied Mathematics and Stochastic Analysis},
keywords = {stochastic differential equation; Hausmann-Clark-Ocone formula; martingale representation},
language = {eng},
number = {4},
pages = {371-383},
publisher = {Hindawi Publishing Corporation, New York},
title = {A Haussmann-Clark-Ocone formula for functionals of diffusion processes with Lipschitz coefficients.},
url = {http://eudml.org/doc/50554},
volume = {15},
year = {2002},
}
TY - JOUR
AU - Bahlali, Khaled
AU - Mezerdi, Brahim
AU - Ouknine, Youssef
TI - A Haussmann-Clark-Ocone formula for functionals of diffusion processes with Lipschitz coefficients.
JO - Journal of Applied Mathematics and Stochastic Analysis
PY - 2002
PB - Hindawi Publishing Corporation, New York
VL - 15
IS - 4
SP - 371
EP - 383
LA - eng
KW - stochastic differential equation; Hausmann-Clark-Ocone formula; martingale representation
UR - http://eudml.org/doc/50554
ER -
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