Jasmina Đorđević, Andrey Dorogovtsev, “Clark representation formula for the solution to equation with interaction”, Theory Stoch. Process., 2020, Volume 25(41), Issue 2,Pages <nobr>9

Clark representation formula for the solution to equation with interaction

Jasmina Đorđević^ab, Andrey Dorogovtsev^cab

^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

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.

MSC: 60H35, 60H07, 93E03, 393E10

Language: English