On the integral representation of functionals of ltd processest
- 1 January 1980
- journal article
- research article
- Published by Taylor & Francis in Stochastics
- Vol. 3 (1-4) , 17-27
- https://doi.org/10.1080/17442507908833134
Abstract
If z is the unique solution of the Itô equation and if L is a differentiable functional of the (continuous trajectories of z, then we show that where μ z is the function of bounded variation corresponding to the derivative of L(z), where ø is the fundamental matrix solutiion ogf the linearized version of the zbove Itô equation, and where is the algebra generated by w(s),s≦t.Keywords
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