except for brief excerpts in connection with reviews or scholarly analysis. Use in connection with any form of information storage and retrieval, electronic adaptation, computer software, or by similar or dissimilar methodology now known or hereafter developed is forbidden. The use in this publication of trade names, trademarks, service marks, and similar terms, even if they are not identified as such, is not to be taken as an expression of opinion as to whether or not they are subject to proprietary rights.
We use a white noise approach to Malliavin calculus to prove the following white noise generalization of the Clark-Haussmann-Ocone formulaHere E [F ] denotes the generalized expectation, D t F (ω) = dF d ω is the (generalized) Malliavin derivative, is the Wick product and W (t) is 1-dimensional Gaussian white noise. The formula holds for all f ∈ G * ⊃ L 2 (µ), where G * is a space of stochastic distributions and µ is the white noise probability measure. We also establish similar results for multidimensional Gaussian white noise, for multidimensional Poissonian white noise and for combined Gaussian and Poissonian noise. Finally we give an application to mathematical finance: We compute the replicating portfolio for a European call option in a Poissonian Black & Scholes type market.
In this paper we present a model for commuting in a network of towns. A basic assumption is that all individuals have a given residential location and that every node in the network has a fixed number of jobs. We then propose a general model for the commuting of labor between the nodes in the network.
scite is a Brooklyn-based organization that helps researchers better discover and understand research articles through Smart Citations–citations that display the context of the citation and describe whether the article provides supporting or contrasting evidence. scite is used by students and researchers from around the world and is funded in part by the National Science Foundation and the National Institute on Drug Abuse of the National Institutes of Health.