The Clark-Ocone formula for vector valued random variables in abstract Wiener space

E. Mayer-Wolf; M. Zakai

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The Clark-Ocone formula for vector valued random variables in abstract Wiener space

E. Mayer-Wolf·M. Zakai

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Abstract

The classical representation of random variables as the Ito integral of nonanticipative integrands is extended to include Banach space valued random variables on an abstract Wiener space equipped with a filtration induced by a resolution of the identity on the Cameron-Martin space. The Ito integral is replaced in this case by an extension of the divergence to random operators, and the operators involved in the representation are adapted with respect to this filtration in a suitably defined sense. However, the published paper contains a mistake which restricts the validity of the main result, as described in the added Erratum.

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BibTeX RIS

E. Mayer-Wolf, M. Zakai. 2008-03-16. The Clark-Ocone formula for vector valued random variables in abstract Wiener space. https://arxiv.org/abs/math/0409451

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