A copy of this work was available on the public web and has been preserved in the Wayback Machine. The capture dates from 2017; you can also visit the original URL.
The file type is `application/pdf`

.

##
###
White Noise Generalization of the Clark-Ocone Formula Under Change of Measure

2010
*
Stochastic Analysis and Applications
*

We proved white noise generalization of the Clark-Ocone formula under change of measure by using white noise analysis and Malliavin calculus. Let W (t) be a Brownian motion on the filtered white noise probability space (Ω, B, {Ft} t≥0 , P ) and letŴ (t) be defined as dŴ (t) = u(t) + dW (t), where u(t) is an Ft-measurable process satisfying certain conditions. Let Q be the probability measure equivalent P such thatŴ (t) is a Brownian motion with respect to Q, in virtue of the Girsanov theorem.

doi:10.1080/07362994.2010.515498
fatcat:i4ysa57sb5e5hpxhun3avcxbsi