A Clark-Ocone formula in UMD Banach spaces
| dc.creator | Maas, Jan | |
| dc.creator | van Neerven, Jan | |
| dc.date | 2007-09-13 | |
| dc.date | 2008-03-04 | |
| dc.date.accessioned | 2026-07-07T09:24:10Z | |
| dc.date.available | 2026-07-07T09:24:10Z | |
| dc.description | Let H be a separable real Hilbert space and let F = (F_t)_{t\in [0,T]} be the augmented filtration generated by an H-cylindrical Brownian motion W_H on [0,T]. We prove that if E is a UMD Banach space, 1\leq p<\infty, and f\in D^{1,p}(E) is F_T-measurable, then f = \E f + \int_0^T P_F(Df) dW_H where D is the Malliavin derivative and P_F is the projection onto the F-adapted elements in a suitable Banach space of L^p-stochastically integrable L(H,E)-valued processes. | |
| dc.description | 12 pages; revised version, to appear in Electronic Communications in Probability | |
| dc.identifier | https://arxiv.org/abs/0709.2021 | |
| dc.identifier | http://arxiv.org/abs/0709.2021 | |
| dc.identifier.uri | http://salesiana.dossiersoluciones.com/handle/123456789/156001 | |
| dc.subject | Probability | |
| dc.subject | Functional Analysis | |
| dc.subject | 60H07 (Primary); 46B09, 60H05 (Secondary) | |
| dc.title | A Clark-Ocone formula in UMD Banach spaces | |
| dc.type | text |