Change of variable formulas for non-anticipative functionals on path space
نویسندگان
چکیده
منابع مشابه
Change of Variable Formulas for Non-anticipative Functionals on Path Space
We derive a change of variable formula for non-anticipative functionals defined on the space of Rd -valued right-continuous paths with left limits. The functionals are only required to possess certain directional derivatives, which may be computed pathwise. Our results lead to functional extensions of the Itô formula for a large class of stochastic processes, including semimartingales and Diric...
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ژورنال
عنوان ژورنال: Journal of Functional Analysis
سال: 2010
ISSN: 0022-1236
DOI: 10.1016/j.jfa.2010.04.017