Abstract
In this paper, we use a white noise approach to Malliavin calculus to prove the generalization of the Clark-Ocone formula , where E[F] denotes the generalized expectation, is the (generalized) Malliavin derivative, ◊ is the Wick product and W(t) is the 1-dimensional Gaussian white noise.
Highlights
We use a white noise approach to Malliavin calculus to prove the generalization of the Clark-Ocone formula
In 1975, Hida introduced the theory of white noise with his lecture note on Brownian functionals [1]
In 1984, Ocone proved the Clark-Ocone formula [3], to give an explicit representation to integral in Itô integral representation theorem in the context of analysis on the Wiener space Ω =C0 ([0,T ]), the space of all real continuous functions on [0,T ] starting at 0
Summary
How to cite this paper: Salih, M. and Jomah, S. (2018) A Generalization of the Clark-Ocone Formula. Journal of Applied Mathematics and Physics, 6, 1443-1453.
Sign-in/Register to view highlights & summary Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
