On the integral representation of functionals of ltd processest

Abstract

If z is the unique solution of the Itô equation and if L is a differentiable functional of the (continuous trajectories of z, then we show that where μ z is the function of bounded variation corresponding to the derivative of L(z), where ø is the fundamental matrix solutiion ogf the linearized version of the zbove Itô equation, and where is the algebra generated by w(s),s≦t.