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20062015
most citedA theory of stochastic integration for bond markets

14 citations · 14 across the 3 of their papers we have counts for

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Showing 2011 · math.PRShow all

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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…