The functional Itō formula under the family of continuous semimartingale measures (Q2810660): Difference between revisions

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-Harald Oberhauser
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+Harald Oberhauser
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+MaRDI publication profile
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+Change of variable formulas for non-anticipative functionals on path space
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+A theoretical framework for the pricing of contingent claims in the presence of model uncertainty
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+The covariation for Banach space valued processes and applications
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+Generalized covariation for Banach space valued processes, Itō formula and applications
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+Viscosity solutions of fully nonlinear parabolic path dependent PDEs. I.
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+Controlled Markov processes and viscosity solutions
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+A functional extension of the Ito formula
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+Q4225410
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+Rough path limits of the Wong-Zakai type with a modified drift term
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+Differential equations driven by rough paths. Ecole d'Eté de Probabilités de Saint-Flour XXXIV -- 2004. Lectures given at the 34th probability summer school, July 6--24, 2004.
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+On the relation between ordinary and stochastic differential equations
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+Publication:2810660