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arxiv: 1109.5071 · v2 · pith:YBOIN5FKnew · submitted 2011-09-23 · 🧮 math.PR

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

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keywords classicalformulafunctionsintegralocone-karatzasspacewienerbounded
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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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