Calculus of Variations and Geometric Measure Theory
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M. Pratelli - D. Trevisan

Functions of Bounded Variation on the Classical Wiener Space and an Extended Ocone-Karatzas Formula

created by trevisan on 10 Jun 2017

[BibTeX]

preprint

Inserted: 10 jun 2017

Year: 2011

ArXiv: 1109.5071 PDF

Abstract:

We prove an extension of the Ocone-Karatzas integral representation, valid for all $BV$ functions on the classical Wiener space. We establish also an elementary chain rule formula and combine the two results to compute explicit integral representations for some classes of $BV$ composite random variables.

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