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Theory of Stochastic Processes, 2020, Volume 25(41), Issue 2, Pages 9–14 (Mi thsp314)  
Clark representation formula for the solution to equation with interaction

Jasmina Đorđevićab, Andrey Dorogovtsevcab

a The Faculty of Mathematics and Natural Sciences, University of Oslo, Blindern 0316 Oslo, Norway
b Faculty of Science and Mathematics, University of Niš, Višegradska 33, 18000 Niš, Serbia
c Institute of Mathematics National Academy of Sciences of Ukraine
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Abstract: In this paper an analogue of the Clark-Ocone representation for solution to measure-valued equation with interaction is studied. It is proved that the integrand is absolutely continuous with respect to Lebesgue measure.
Keywords: Stochastic differential equations with interaction, Clark representation, Clark-Ocone formula.
Funding agency Grant number
Research Council of Norway 274410
Is supported by STORM-Stochastics for Time-Space Risk Models, granted by Research Council of Norway - Independent projects: ToppForsk. Project nr. 274410.
Document Type: Article
MSC: 60H35, 60H07, 93E03, 393E10
Language: English
Citation: Jasmina Ðorđević, Andrey Dorogovtsev, “Clark representation formula for the solution to equation with interaction”, Theory Stoch. Process., 25(41):2 (2020), 9–14
Citation in format AMSBIB
\Bibitem{DjoDor20}
\by Jasmina~{\DJ}or{\dj}evi{\'c}, Andrey~Dorogovtsev
\paper Clark representation formula for the solution to equation with interaction
\jour Theory Stoch. Process.
\yr 2020
\vol 25(41)
\issue 2
\pages 9--14
\mathnet{http://mi.mathnet.ru/thsp314}
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