Calculus of Variations and Geometric Measure Theory

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



Inserted: 10 jun 2017

Year: 2011

ArXiv: 1109.5071 PDF


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.