Stochastic Integrals and Derivatives |
| B. Rajeev |
| Abstract |
| In this talk, we show that an earlier differentiation formula of the author, used to represent any square integrable functional of Brownian motion as a stochastic integral, remains valid for continuous local martingale integrals. The Martingale representation theorem for a process takes the form of a Hilbert space isomorphism between the L_2 space of the process and an appropriate stochastic Sobolev space. |