Pathwise calculus for non-anticipative functionals

DOI10.1007/978-3-319-27128-6_5zbMATH Open1371.60098OpenAlexW2376006203MaRDI QIDQ2813627FDOQ2813627

Authors: Rama Cont 

Publication date: 24 June 2016

Published in: Advanced Courses in Mathematics - CRM Barcelona (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-27128-6_5

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Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integrals (60H05) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Cited In (5)

• Change of variable formulas for non-anticipative functionals on path space
• A Hörmander condition for delayed stochastic differential equations
• Smoothness of densities for path-dependent SDEs under Hörmander's condition
• Causal functional calculus
• Weak functional calculus for square-integrable processes

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