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A Generalization of the Clark-Ocone Formula

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Document pages: 11 pages

Abstract: In this paper, we use a whitenoise approach to Malliavin calculus to prove the generalization of theClark-Ocone formula , where E[F] denotes thegeneralized expectation, is the (generalized)Malliavin derivative, ◊ is the Wick productand W(t) is the 1-dimensionalGaussian white noise.

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