Change of variable formulas for non-anticipative functionals

DOI10.1142/S021902572050006XMaRDI QIDQ3298328zbMATH OpenOpenAlexFDO

Authors M. Mania, R. Tevzadze

Publication date 14 July 2020

Published in Infinite Dimensional Analysis, Quantum Probability and Related Topics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1903.11571

zbMATH Keywords

functional derivativesItô formulanon-anticipative functionalssemimartingales

Mathematics Subject Classification ID

Derivatives of functions in infinite-dimensional spaces (46G05) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Abstract: For non-anticipative functionals, differentiable in Chitashvili's sense, the It^o formula for cadlag semimartingales is proved. Relations between different notions of functional derivatives are established.

Cites work

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Cited in

(4)

• scientific article; zbMATH DE number 3859765 (Why is no real title available?)
• For which functions are 𝑓(𝑋_{𝑡})-𝔼𝕗(𝕏_{𝕥}) and 𝕘(𝕏_{𝕥})/𝔼𝕘(𝕏_{𝕥}) martingales?
• Causal functional calculus
• Change of variable formulas for non-anticipative functionals on path space

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