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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

A discrete Clark-Ocone formula


Martin Leitz-Martini


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.

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