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Functions of bounded variation on the classical Wiener space and an extended Ocone–Karatzas formula

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  • Pratelli, M.
  • Trevisan, D.

Abstract

We prove an extension of the Ocone–Karatzas integral representation, valid for all BV functions on the classical Wiener space. We also establish an elementary chain rule formula and combine the two results to compute explicit integral representations for some classes of BV composite random variables.

Suggested Citation

  • Pratelli, M. & Trevisan, D., 2012. "Functions of bounded variation on the classical Wiener space and an extended Ocone–Karatzas formula," Stochastic Processes and their Applications, Elsevier, vol. 122(6), pages 2383-2399.
  • Handle: RePEc:eee:spapps:v:122:y:2012:i:6:p:2383-2399
    DOI: 10.1016/j.spa.2012.03.010
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