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