Integral representation of Wiener functional of a difference of arguments

Author: Omar Purtukhia
Keywords: Wiener functional, Clark-Ocone formula, Malliavin (stochastic) derivative, integral representation.
Annotation:

We consider the Wiener functional of a difference of arguments, which is not Malliavin differentiable and establish for it the stochastic integral representation formula with explicit form of integrand.

Lecture files:

Integral representation of Wiener functional of a difference of arguments [en]
არგუმენტების სხვაობის ვინერის ფუნქციონალის ინტეგრალური წარმოდგენა [ka]