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Brownian excursions, stochastic integrals, and representation of Wiener functionals

Dublin Core		PKP Metadata Items	Metadata for this Document
1.	Title	Title of document	Brownian excursions, stochastic integrals, and representation of Wiener functionals
2.	Creator	Author's name, affiliation, country	Jean Picard; Labo. de Mathématiques, Université Blaise Pascal
3.	Subject	Discipline(s)
3.	Subject	Keyword(s)	Brownian excursions; Malliavin calculus; stochastic integrals; stochastic integral representation; anticipating calculus
3.	Subject	Subject classification	60H05; 60J65
4.	Description	Abstract	A stochastic calculus similar to Malliavin's calculus is worked out for Brownian excursions. The analogue of the Malliavin derivative in this calculus is not a differential operator, but its adjoint is (like the Skorohod integral) an extension of the Itô integral. As an application, we obtain an expression for the integrand in the stochastic integral representation of square integrable Wiener functionals; this expression is an alternative to the classical Clark-Ocone formula. Moreover, this calculus enables to construct stochastic integrals of predictable or anticipating processes (forward, backward and symmetric integrals are considered).
5.	Publisher	Organizing agency, location
6.	Contributor	Sponsor(s)
7.	Date	(YYYY-MM-DD)	2006-03-12
8.	Type	Status & genre	Peer-reviewed Article
8.	Type	Type
9.	Format	File format	PDF
10.	Identifier	Uniform Resource Identifier	http://ejp.ejpecp.org/article/view/310
10.	Identifier	Digital Object Identifier	10.1214/EJP.v11-310
11.	Source	Journal/conference title; vol., no. (year)	Electronic Journal of Probability; Vol 11
12.	Language	English=en
14.	Coverage	Geo-spatial location, chronological period, research sample (gender, age, etc.)
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