Clark-Ocone Formula for Generalized Functionals of Discrete-Time Normal Noises

29 Sep 2019  ·  Wang Caishi, Lin Shuai, Huang Ailing ·

The Clark-Ocone formula in the theory of discrete-time chaotic calculus holds only for square integrable functionals of discrete-time normal noises. In this paper, we aim at extending this formula to generalized functionals of discrete-time normal noises... Let $Z$ be a discrete-time normal noise that has the chaotic representation property. We first prove a result concerning the regularity of generalized functionals of $Z$. Then, we use the Fock transform to define some fundamental operators on generalized functionals of $Z$, and apply the above mentioned regularity result to prove the continuity of these operators. Finally, we establish the Clark-Ocone formula for generalized functionals of $Z$, and show its application results, which include the covariant identity result and the variant upper bound result for generalized functionals of $Z$. read more

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Probability Functional Analysis