The Representation of Functionals of Brownian Motion by Stochastic Integrals
Clark, J. M. C.
Ann. Math. Statist., Tome 41 (1970) no. 6, p. 1282-1295 / Harvested from Project Euclid
It is known that any functional of Brownian motion with finite second moment can be expressed as the sum of a constant and an Ito stochastic integral. It is also known that homogeneous additive functionals of Brownian motion with finite expectations have a similar representation. This paper extends these results in several ways. It is shown that any finite functional of Brownian motion can be represented as a stochastic integral. This representation is not unique, but if the functional has a finite expectation it does have a unique representation as a constant plus a stochastic integral in which the process of indefinite integrals is a martingale. A corollary of this result is that any martingale (on a closed interval) that is measurable with respect to the increasing family of $\sigma$-fields generated by a Brownian motion is equal to a constant plus an indefinite stochastic integral. Sufficiently well-behaved Frechet-differentiable functionals have an explicit representation as a stochastic integral in which the integrand has the form of conditional expectations of the differential.
Publié le : 1970-08-14
Classification: 
@article{1177696903,
     author = {Clark, J. M. C.},
     title = {The Representation of Functionals of Brownian Motion by Stochastic Integrals},
     journal = {Ann. Math. Statist.},
     volume = {41},
     number = {6},
     year = {1970},
     pages = { 1282-1295},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1177696903}
}
Clark, J. M. C. The Representation of Functionals of Brownian Motion by Stochastic Integrals. Ann. Math. Statist., Tome 41 (1970) no. 6, pp.  1282-1295. http://gdmltest.u-ga.fr/item/1177696903/