A Stochastic Calculus for Systems with Memory
Let \[ X(t)= \begin{cases} x+\int^t_0 G(s,X_s, X(s))\,dW(s)+ \int^t_0 H(s,X_s,X(s)\,ds,\;&t\geq 0,\\ \eta(t),\;&-r\leq t< 0,\end{cases}\tag{1} \] where \(\eta\) is an initial path in \(V= L^2([-r,0],\mathbb{R}^m)\), \(x\) an initial vector in \(\mathbb{R}^m\), \(r\geq 0\) is the length of system memory, the drift and diffusion coefficients \[ H:[0,a]\times V\times\mathbb{R}^m\to \mathbb{R}^m,\quad G:[0,a]\times V\times\mathbb{R}^m\to L(\mathbb{R}^d, \mathbb{R}^m) \] are Lipschitz on bounded sets and satisfy linear growth conditions, \(W(t)\), \(t\geq 0\), is \(d\)-dimensional standard Brownian motion, be a stochastic functional differential equation (SFDE). The solution \(\{X(t): -r\leq t\leq a\}\) of (1) is an \(m\)-dimensional stochastic process. Its segment process \(\{X_t: 0\leq t\leq a\}\) is defined by \(X_t(s)= X(t+ s)\), \(t\geq 0\), \(s\in [-r,0]\). The authors define the Skorokhod segment integral of \(X\) with respect to the Brownian segment \(\{W_t\}, \int^a_0\langle X_t, dW_t\rangle_V\), and the Stratonovich segment integral of \(X\) with respect to the Brownian segment \(\{W_t\}\), \(\int^a_0\langle X_t,\circ dW_t\rangle_V\), where \(\langle\cdot,\cdot\rangle_V\) is the inner product on \(V\). They give some \(L^p\) approximations of the segment integral. Itô's formula for the segment process is proved. As an application of Itô's formula the weak infinitesimal generator of SFDEs is studied and the Feynman-Kac formula is derived. The Feynman-Kac formula is applied to obtain the functional Black-Scholes PDE for stock dynamics with memory.
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- Moderate deviations for diffusions with Brownian potentials
- Stochastic analysis
- Stochastic calculus with anticipating integrands
- The Malliavin calculus and stochastic delay equations
- Theorems and problems in functional analysis. Transl. from the Russian by Harold H. McFaden
- Stochastic systems with memory and jumps
- A nonlinear Kolmogorov equation for stochastic functional delay differential equations with jumps
- Existence and smoothness of the densities of stochastic functional differential equations with jumps
- Functional and Banach space stochastic calculi: path-dependent Kolmogorov equations associated with the frame of a Brownian motion
- A Stochastic Approach for Parameterizing Unresolved Scales in a System with Memory
- Stochastic differential inclusions with memory
- On Generalized Regular Stochastic Differential Delay Systems with Time Invariant Coefficients
- Causality with finite horizon of the past in continuous time
- Feynman-Kac formula for BSDEs with jumps and time delayed generators associated to path-dependent nonlinear Kolmogorov equations
- Maximum principle for stochastic control system with elephant memory and jump diffusion
- Anticipating stochastic differential systems with memory
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