The functional Itō formula under the family of continuous semimartingale measures

DOI10.1142/S0219493716500106zbMath1339.60066MaRDI QIDQ2810660

Harald Oberhauser

Publication date: 3 June 2016

Published in: Stochastics and Dynamics (Search for Journal in Brave)

zbMATH Keywords

functional Itō formulapathwise stochastic calculussemimartingale measures

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Stochastic integrals (60H05)

Related Items (10)

A weak version of path-dependent functional Itô calculus ⋮ Functional Itô calculus, path-dependence and the computation of Greeks ⋮ The functional Meyer–Tanaka formula ⋮ Causal functional calculus ⋮ Stochastic Control and Differential Games with Path-Dependent Influence of Controls on Dynamics and Running Cost ⋮ Change of variable formulas for non-anticipative functionals ⋮ Weak differentiability of Wiener functionals and occupation times ⋮ Path-Dependent Deep Galerkin Method: A Neural Network Approach to Solve Path-Dependent Partial Differential Equations ⋮ Comparison of Viscosity Solutions of Semilinear Path-Dependent PDEs ⋮ Crandall-Lions viscosity solutions for path-dependent PDEs: the case of heat equation

Cites Work

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• Viscosity solutions of fully nonlinear parabolic path dependent PDEs. II
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• Differential equations driven by rough paths. Ecole d'Eté de Probabilités de Saint-Flour XXXIV -- 2004. Lectures given at the 34th probability summer school, July 6--24, 2004.
• Change of variable formulas for non-anticipative functionals on path space
• A theoretical framework for the pricing of contingent claims in the presence of model uncertainty
• Rough path limits of the Wong-Zakai type with a modified drift term
• On the relation between ordinary and stochastic differential equations
• The covariation for Banach space valued processes and applications
• Controlled Markov processes and viscosity solutions
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