Centre for Mathematical Physics and Stochastics

Department of Mathematical Sciences, University of Aarhus

Funded by The Danish National Research Foundation

MPS-RR 2000-29

July 2000

In this article the Malliavin calculus for a discrete finite time line is developed in the same way as it was done by Holden, Lindstrøm, Øksendal and Ubøe. A modification of the definition of the discrete Malliavin derivative allows us to formulate and to prove a discrete Clark-Ocone formula.

Availability: [ gzipped `ps`

-file ] [ `pdf`

-file ]