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math.PR2011
Functions of Bounded Variation on the Classical Wiener Space and an Extended Ocone-Karatzas Formula
Maurizio Pratelli, Dario Trevisan
We prove an extension of the Ocone-Karatzas integral representation, valid for all functions on the classical Wiener space. We establish also an elementary chain rule formula…
math.PR2006★ 14 cited
A theory of stochastic integration for bond markets
M. De Donno, M. Pratelli
We introduce a theory of stochastic integration with respect to a family of semimartingales depending on a continuous parameter, as a mathematical background to the theory of bond…