Weak differentiability of Wiener functionals and occupation times
From MaRDI portal
Publication:1990962
DOI10.1016/j.bulsci.2018.07.001zbMath1404.60098arXiv1711.10895OpenAlexW2963406139MaRDI QIDQ1990962
Alexandre B. Simas, Dorival Leão, Alberto Ohashi
Publication date: 29 October 2018
Published in: Bulletin des Sciences Mathématiques (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1711.10895
Related Items (4)
A weak version of path-dependent functional Itô calculus ⋮ A \(\mathbb{C}^{0, 1}\)-functional Itô's formula and its applications in mathematical finance ⋮ Trading strategies generated pathwise by functions of market weights ⋮ Stability results for martingale representations: The general case
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Viscosity solutions of fully nonlinear parabolic path dependent PDEs. I.
- Viscosity solutions of fully nonlinear parabolic path dependent PDEs. II
- An infinite-dimensional approach to path-dependent Kolmogorov equations
- Weak approximations for Wiener functionals
- \(G\)-expectation weighted Sobolev spaces, backward SDE and path dependent PDE
- Change of variable formulas for non-anticipative functionals on path space
- Exact rates of convergence to Brownian local time
- Functional Itô calculus, path-dependence and the computation of Greeks
- Path-dependent equations and viscosity solutions in infinite dimension
- Stochastic control for a class of nonlinear kernels and applications
- On pathwise stochastic integration
- Functional Itō calculus and stochastic integral representation of martingales
- Pseudo-Markovian viscosity solutions of fully nonlinear degenerate PPDEs
- A note on the sharp \(L^p\)-convergence rate of upcrossings to the Brownian local time
- Pathwise integration with respect to paths of finite quadratic variation
- On viscosity solutions of path dependent PDEs
- Two-parameter \(p,q\)-variation paths and integrations of local times
- BSDE, path-dependent PDE and nonlinear Feynman-Kac formula
- Functional and Banach Space Stochastic Calculi: Path-Dependent Kolmogorov Equations Associated with the Frame of a Brownian Motion
- Dynamic Risk Measures and Path-Dependent Second Order PDEs
- The functional Itō formula under the family of continuous semimartingale measures
- Two Person Zero-Sum Game in Weak Formulation and Path Dependent Bellman--Isaacs Equation
- Functional Itô versus Banach space stochastic calculus and strict solutions of semilinear path-dependent equations
- A maximal inequality for upcrossings of a continuous martingale
- Les processus de dirichlet et tant qu'espace de banach
- The functional Meyer–Tanaka formula
- Backward Stochastic Differential Equations
- Random Walks and A Sojourn Density Process of Brownian Motion
- Brownian Motion
- Pathwise Itô calculus for rough paths and rough PDEs with path dependent coefficients
- Weak approximation of martingale representations
This page was built for publication: Weak differentiability of Wiener functionals and occupation times