Graversen, S. and Shiryaev, A. N. and Yor, M.
(2007)
*On the problem of stochastic integral representations of functions of the Brownian motion II.*
Theory of Probability and its Applications, 51 (1).
pp. 65-77.
ISSN 1095-7219

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## Abstract

In the first part of this paper [A. N. Shiryaev and M. Yor, Theory Probab. Appl., 48 (2004), pp. 304–313], a method of obtaining stochastic integral representations of functionals $S(\omega)$ of Brownian motion $B=(B_t)_{t\ge0}$ was stated. Functionals $\max_{t\le T}B_t$ and $\max_{t\le T_{-a}}B_t$, where $T_{-a}=\inf\{t: B_t=-a\}$, $a>0$, were considered as an illustration. In the present paper we state another derivation of representations for these functionals and two proofs of representation for functional $\max_{t\le g_T}B_t$, where (non-Markov time) $g_T=\sup\{0\le t\le T: B_t=0\}$ are given.

Item Type: | Article |
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Uncontrolled Keywords: | Brownian motion; Itô integral; max-functionals; stochastic integral representation |

Subjects: | MSC 2010, the AMS's Mathematics Subject Classification > 60 Probability theory and stochastic processes |

Depositing User: | Ms Lucy van Russelt |

Date Deposited: | 19 Nov 2007 |

Last Modified: | 20 Oct 2017 14:12 |

URI: | https://eprints.maths.manchester.ac.uk/id/eprint/911 |

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