Causal functional calculus

DOI10.1112/TLM3.12050MaRDI QIDQ6165650zbMATH OpenOpenAlexFDO

Authors Henry Chiu, Rama Cont

Publication date 1 August 2023

Published in Transactions of the London Mathematical Society (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/1912.07951

Mathematics Subject Classification ID

Stochastic integrals (60H05) Integrals of Riemann, Stieltjes and Lebesgue type (26A42) Integration of real functions of several variables: length, area, volume (26B15)

Abstract: We construct a new topology on the space of stopped paths and introduce a calculus for causal functionals on generic domains of this space. We propose a generic approach to pathwise integration without any assumption on the variation index of a path and obtain functional change of variable formulas which extend the results of follmer (1981) and Cont & Fourni'e (2010) to a larger class of functionals, including follmer's pathwise integrals. We show that a class of smooth functionals possess a pathwise analogue of the martingale property. For paths that possess finite quadratic variation, our approach extends F"ollmer-Ito calculus and removes previous restriction on the time partition sequence. We introduce a foliation structure on this path space and show that harmonic functionals may be represented as pathwise integrals of closed 1-forms.

Recommendations

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

(6)

• Vers une notion de dérivation fonctionnelle causale. (Towards a notion of causal functional derivatives)
• Quadratic variation and quadratic roughness
• scientific article; zbMATH DE number 1873778 (Why is no real title available?)
• Model‐free portfolio theory: A rough path approach
• A model‐free approach to continuous‐time finance
• A càdlàg rough path foundation for robust finance

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