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- W2593386757 abstract "In this paper we propose a method for finding an integrand in the Clark stochastic integral representation of quadratic integrable Brownian functional $F$ with Malliavin differentiable conditional mathematical expectation ${E},[F,|,Im_t^B],$ $t<T$, where $(Im_t^B)$ is a natural Brownian filtration. The proposed method allows us to determine the explicit form of the integrand in the case when $F$ has no Malliavin derivative. We give several illustrations as examples." @default.
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- W2593386757 date "2017-01-01" @default.
- W2593386757 modified "2023-10-18" @default.
- W2593386757 title "On One Integral Representation of Functionals of Brownian Motion" @default.
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- W2593386757 doi "https://doi.org/10.1137/s0040585x97t988034" @default.
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