Functions of Bounded Variation on the Classical Wiener Space and an Extended Ocone-Karatzas Formula

Details Functions of Bounded Variation on the Classical Wiener Space and an Extended Ocone-Karatzas Formula Functions of Bounded Variation on the Classical Wiener Space and an Extended Ocone-Karatzas Formula

2011-09-23

arxiv.org/abs/1109.5071v2

Mathematics

Probability

Scientific paper

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

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