In this paper we show that the variational representation
holds, where
W is a standard
d-dimensional Brownian motion,
f is any bounded measurable function that maps
into
and the infimum is over all processes
v that are progressively measurable
... [Show full abstract] with respect to the augmentation of the filtration generated by W. An application is made to a problem concerned with large deviations, and an extension to unbounded functions is given.