O. Purtukhia

A constructive approach to stochastic integral representations of non-smooth functionals of Brownian motion

We study stochastic integral representations for a broad class of Brownian functionals that are not Malliavin-smooth. Classical Clark–Ocone formulas require the functional itself to be Malliavin differentiable and thus do not cover many objects of practical interest, particularly in mathematical finance. We first consi...