A \(\mathbb{C}^{0, 1}\)-functional Itô's formula and its applications in mathematical finance
From MaRDI portal
Publication:2132538
DOI10.1016/j.spa.2022.02.010zbMath1491.60074arXiv2101.03759OpenAlexW4214859237WikidataQ113863845 ScholiaQ113863845MaRDI QIDQ2132538
Grégoire Loeper, Bruno Bouchard, Xiaolu Tan
Publication date: 28 April 2022
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2101.03759
Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07)
Related Items (3)
Robustness of Delta Hedging in a Jump-Diffusion Model ⋮ Weak Dirichlet processes and generalized martingale problems ⋮ Approximate viscosity solutions of path-dependent PDEs and Dupire's vertical differentiability
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Viscosity solutions of fully nonlinear parabolic path dependent PDEs. I.
- Fundamentals and advanced techniques in derivatives hedging. Translated from the French
- Viscosity solutions of fully nonlinear parabolic path dependent PDEs. II
- Superreplication under volatility uncertainty for measurable claims
- Weak Dirichlet processes with a stochastic control perspective
- A theoretical framework for the pricing of contingent claims in the presence of model uncertainty
- Forward, backward and symmetric stochastic integration
- A weak version of path-dependent functional Itô calculus
- Weak Dirichlet processes with jumps
- The generalized covariation process and Itô formula
- Ito formula for \(C^ 1\)-functions of semimartingales
- Functional Itō calculus and stochastic integral representation of martingales
- Weak differentiability of Wiener functionals and occupation times
- A quasi-sure optional decomposition and super-hedging result on the Skorokhod space
- Crandall-Lions viscosity solutions for path-dependent PDEs: the case of heat equation
- Understanding the dual formulation for the hedging of path-dependent options with price impact
- On the convergence of monotone schemes for path-dependent PDEs
- On viscosity solutions of path dependent PDEs
- Controlled Markov processes and viscosity solutions
- The mathematics of arbitrage
- \(n\)-covariation, generalized Dirichlet processes and calculus with respect to finite cubic variation processes.
- Functionals of Itô Processes as Stochastic Integrals
- The functional Meyer–Tanaka formula
- Functional Itô calculus
- ROBUST FUNDAMENTAL THEOREM FOR CONTINUOUS PROCESSES
- An Overview of Viscosity Solutions of Path-Dependent PDEs
- Elements of Stochastic Calculus via Regularization
- The Representation of Functionals of Brownian Motion by Stochastic Integrals
This page was built for publication: A \(\mathbb{C}^{0, 1}\)-functional Itô's formula and its applications in mathematical finance
