Wiener Functionals as Ito Integrals
Dudley, R. M.
Ann. Probab., Tome 5 (1977) no. 6, p. 140-141 / Harvested from Project Euclid
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Every measurable real-valued function $f$ on the space of Wiener process paths $\{W(t): 0 \leqq t \leqq 1\}$ can be represented as an Ito stochastic integral $\int^1_0 \varphi(t, \omega) dW(t, \omega)$ where $\varphi$ is a nonanticipating functional with $\int^1_0 \varphi(t, \omega)^2dt < \infty$ for almost all $\omega$.
Publié le : 1977-02-14
Classification:  Stochastic integral,  Wiener process,  60H05,  60G15,  60G17,  60G40,  60J65 
@article{1176995898,
     author = {Dudley, R. M.},
     title = {Wiener Functionals as Ito Integrals},
     journal = {Ann. Probab.},
     volume = {5},
     number = {6},
     year = {1977},
     pages = { 140-141},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176995898}
}

Dudley, R. M. Wiener Functionals as Ito Integrals. Ann. Probab., Tome 5 (1977) no. 6, pp.  140-141. http://gdmltest.u-ga.fr/item/1176995898/