TY - JOUR
AB - Let H be a separable real Hubert space and let double struck F sign = (ℱt)t∈[0,T] be the augmented filtration generated by an H-cylindrical Brownian motion (WH(t))t∈[0,T] on a probability space (Ω, ℱ ℙ). We prove that if E is a UMD Banach space, 1 ≤ p < ∞, and F ∈ double struck D sign1,p(Ω E) is ℱT-measurable, then F = double struck E sign(F) + ∫0T Pdouble struck F sign(DF) dW H, where D is the Malliavin derivative of F and P double struck F sign is the projection onto the F-adapted elements in a suitable Banach space of Lp-stochastically integrable ℒ(H, E)-valued processes.
AU - van Neerven, Jan M
AU - Jan Maas
ID - 2121
JF - Electronic Communications in Probability
TI - A Clark-Ocone formula in UMD Banach spaces
VL - 13
ER -