Abstract
We establish a martingale representation formula for functionals of diffusion processes with Lipschitz coefficients, as stochastic integrals with respect to the Brownian motion.
Open Access
A Haussmann-Clark-Ocone formula for functionals of diffusion processes with Lipschitz coefficients
Received01 Apr 2001
Revised01 Feb 2002
Copyright
Copyright © 2002 Hindawi Publishing Corporation. This is an open access article distributed under the
Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.