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- W1967254555 abstract "Conditions are given under which a functional L of an Itô process $z( cdot )$, [(1)qquad z(t) = z_0 + int_0^t {f(s,z)ds} + int_0^t {sigma (s,z), dw} ,quad 0 leqq t leqq 1,] can be represented as [L(z( cdot ,w)) = int_0^1 {chi (t,w)dw} (t,w)quad {text{w.p. }}1,] and an explicit formula for $chi $ is given in terms of the Fréchet derivative of L and the solution of the linearized version of the Itô equation (1). The method of proof consists of applying a theorem of J. M. C. Clark to the Cauchy–Maruyama approximation of (1)." @default.
- W1967254555 created "2016-06-24" @default.
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- W1967254555 date "1978-03-01" @default.
- W1967254555 modified "2023-10-17" @default.
- W1967254555 title "Functionals of Itô Processes as Stochastic Integrals" @default.
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- W1967254555 doi "https://doi.org/10.1137/0316016" @default.
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