The Clark–Haussmann–Ocone type formula for functionals of the Compensated Poisson Process

Author: Omar Purtukhia
Keywords: Normal martingale, Clark-Haussmann-Ocone formula, Compensated Poisson Process
Annotation:

A convenient form for finding the explicit expression of an integrand in the Clark-Haussmann-Ocone representation of functionals of the Compensated Poisson Process is found

Lecture files:

The Clark–Haussmann–Ocone type formula for functionals of the Compensated Poisson Process [en]
კლარკ-ჰაუსმან-ოკონეს ტიპის ფორმულა კომპენსირებული პუასონის პროცესის ფუნქციონალებისათვის [ka]