Change of variable formulas for non-anticipative functionals on path space

Details Change of variable formulas for non-anticipative functionals on path space Change of variable formulas for non-anticipative functionals on path space

2010-04-08

arxiv.org/abs/1004.1380v1

Mathematics

Probability

Scientific paper

We derive a functional change of variable formula for {\it non-anticipative} functionals defined on the space of right continuous paths with left limits. The functional is only required to possess certain directional derivatives, which may be computed pathwise. Our results lead to functional extensions of the Ito formula for a large class of stochastic processes, including semimartingales and Dirichlet processes. In particular, we show the stability of the class of semimartingales under certain functional transformations. Keywords: change of variable formula, functional derivative, functional calculus, stochastic integral, stochastic calculus, quadratic variation, Ito formula, Dirichlet process, semimartingale, Wiener space, F\"ollmer integral, Ito integral, cadlag functions.

Affiliated with

Also associated with

No associations

Rating

Change of variable formulas for non-anticipative functionals on path space does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Change of variable formulas for non-anticipative functionals on path space, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Change of variable formulas for non-anticipative functionals on path space will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-713461