Change of variable formulas for non-anticipative functionals on path space
From MaRDI portal
Abstract: 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.
Recommendations
- Change of variable formulas for non-anticipative functionals
- Change of path formula on the function space with applications
- Pathwise calculus for non-anticipative functionals
- Pathwise integration and change of variable formulas for continuous paths with arbitrary regularity
- scientific article; zbMATH DE number 1149950
- A change of variable formula for quasidifferentiable maps
- scientific article; zbMATH DE number 1047450
- Change of variable formulas for infinite-dimensional distributions
- Change of path formula for generalized Wiener integral with applications
- CHANGE OF SCALE FORMULAS FOR WIENER INTEGRAL OVER PATHS IN ABSTRACT WIENER SPACE
Cites work
- scientific article; zbMATH DE number 3721834 (Why is no real title available?)
- scientific article; zbMATH DE number 3723611 (Why is no real title available?)
- scientific article; zbMATH DE number 3778409 (Why is no real title available?)
- scientific article; zbMATH DE number 3583004 (Why is no real title available?)
- scientific article; zbMATH DE number 1354815 (Why is no real title available?)
- scientific article; zbMATH DE number 1014073 (Why is no real title available?)
- scientific article; zbMATH DE number 822726 (Why is no real title available?)
- A functional extension of the Ito formula
- Decomposition of Dirichlet processes and its applications
- Elements of Stochastic Calculus via Regularization
- On non-continuous Dirichlet processes
- Stochastic integral
- The Malliavin calculus, a functional analytic approach
- Variation conditionelle des processus stochastiques. (Conditional variation of random processes)
Cited in
(91)- Piecewise-tunneled captive processes and corridored random particle systems
- Model‐free portfolio theory: A rough path approach
- Viscosity solutions to second order elliptic Hamilton-Jacobi-Bellman equations with infinite delay
- Quadratic variation along refining partitions: constructions and examples
- Future expectations modeling, random coefficient forward-backward stochastic differential equations, and stochastic viscosity solutions
- A càdlàg rough path foundation for robust finance
- Survey on path-dependent PDEs
- Me, myself and I: a general theory of non-Markovian time-inconsistent stochastic control for sophisticated agents
- A functional Itō-formula for Dawson-Watanabe superprocesses
- Path-dependent backward stochastic Volterra integral equations with jumps, differentiability and duality principle
- Viscosity solutions to first order path-dependent Hamilton-Jacobi-Bellman equations in Hilbert space
- On the support of solutions to stochastic differential equations with path-dependent coefficients
- Comparison of viscosity solutions of semilinear path-dependent PDEs
- Pairs trading under delayed cointegration
- Path dependent Feynman-Kac formula for forward backward stochastic Volterra integral equations
- Feynman-Kac formula for BSDEs with jumps and time delayed generators associated to path-dependent nonlinear Kolmogorov equations
- Trajectory-based models, arbitrage and continuity
- Stability for multi-linked stochastic delayed complex networks with stochastic hybrid impulses by dupire Itô's formula
- Stochastic functional Kolmogorov equations. I: Persistence
- Classical solution of path-dependent mean-field semilinear PDEs
- Crandall-Lions viscosity solutions for path-dependent PDEs: the case of heat equation
- Viscosity solutions to second order path-dependent Hamilton-Jacobi-Bellman equations and applications
- Quadratic variation and quadratic roughness
- A quasi-sure optional decomposition and super-hedging result on the Skorokhod space
- Functional Itô calculus, path-dependence and the computation of Greeks
- Rough differential equations with path-dependent coefficients
- Calculus via regularizations in Banach spaces and Kolmogorov-type path-dependent equations
- Path-dependent equations and viscosity solutions in infinite dimension
- Itô-Föllmer calculus in Banach spaces. I: The Itô formula
- A simple proof of functional Itô's lemma for semimartingales with an application
- A generic decomposition formula for pricing vanilla options under stochastic volatility models
- Stochastic functional Kolmogorov equations. II: Extinction
- Pathwise calculus for non-anticipative functionals
- Optimal liquidation problem in illiquid markets
- Infinite-dimensional calculus under weak spatial regularity of the processes
- BSDEs with jumps and path-dependent parabolic integro-differential equations
- Weak differentiability of Wiener functionals and occupation times
- Remarks on Föllmer's pathwise Itô calculus
- Itô calculus without probability in idealized financial markets
- A financial market of a stochastic delay equation
- Path-dependent Itô formulas under \((p,q)\)-variations
- Path-dependent Hamilton-Jacobi-Bellman equations related to controlled stochastic functional differential systems
- Decoupled mild solutions of path-dependent PDEs and integro PDEs represented by BSDEs driven by cadlag martingales
- Functional and Banach space stochastic calculi: path-dependent Kolmogorov equations associated with the frame of a Brownian motion
- Forward-backward doubly stochastic systems and classical solutions of path-dependent stochastic PDEs
- Stochastic control and differential games with path-dependent influence of controls on dynamics and running cost
- A superhedging approach to stochastic integration
- Constructing functions with prescribed pathwise quadratic variation
- Path-dependent Hamilton-Jacobi equations in infinite dimensions
- Patterns in random walks and Brownian motion
- Recurrence for switching diffusion with past dependent switching and countable state space
- Pathwise no-arbitrage in a class of delta hedging strategies
- A note on functional derivatives on continuous paths
- Bilinear equations in Hilbert space driven by paths of low regularity
- Stochastic systems with memory and jumps
- Comparison theorem for nonlinear path-dependent partial differential equations
- BSDE, path-dependent PDE and nonlinear Feynman-Kac formula
- Functional Itō calculus and stochastic integral representation of martingales
- Stability of stochastic functional differential systems with semi-Markovian switching and Lévy noise by functional Itô's formula and its applications
- A BSDE with delayed generator approach to pricing under counterparty risk and collateralization
- Itô's formula, the stochastic exponential, and change of measure on general time scales
- Viscosity solutions of path-dependent integro-differential equations
- Stability of stochastic functional differential equations with regime-switching: analysis using Dupire's functional Itô formula
- On pathwise quadratic variation for càdlàg functions
- The functional Itō formula under the family of continuous semimartingale measures
- Recurrence and ergodicity of switching diffusions with past-dependent switching having a countable state space
- Causal functional calculus
- Model-free portfolio theory and its functional master formula
- Weak approximation of martingale representations
- A martingale approach for fractional Brownian motions and related path dependent PDEs
- Local times and Tanaka-Meyer formulae for càdlàg paths
- Path-dependent optimal stochastic control and viscosity solution of associated Bellman equations
- Path-Dependent SDEs in Hilbert Spaces
- A weak version of path-dependent functional Itô calculus
- The functional Meyer–Tanaka formula
- An infinite-dimensional approach to path-dependent Kolmogorov equations
- Change of variable formulas for non-anticipative functionals
- On the quadratic variation of the model-free price paths with jumps
- Path-dependent deep Galerkin method: a neural network approach to solve path-dependent partial differential equations
- Pathwise integration and change of variable formulas for continuous paths with arbitrary regularity
- The weak functional representation of historical martingales
- The covariation for Banach space valued processes and applications
- Path-dependent BSDEs with jumps and their connection to PPIDEs
- A nonlinear Kolmogorov equation for stochastic functional delay differential equations with jumps
- Non-Markovian fully coupled forward-backward stochastic systems and classical solutions of path-dependent PDES
- Feynman-Kac for functional jump diffusions with an application to credit value adjustment
- Pathwise integration with respect to paths of finite quadratic variation
- A model‐free approach to continuous‐time finance
- Stochastic integration and differential equations for typical paths
- On a class of generalized Takagi functions with linear pathwise quadratic variation
- On a Chen-Fliess approximation for diffusion functionals
This page was built for publication: Change of variable formulas for non-anticipative functionals on path space
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q984411)
