Pathwise calculus for non-anticipative functionals

DOI10.1007/978-3-319-27128-6_5MaRDI QIDQ2813627zbMATH OpenOpenAlexFDO

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

Mathematics Subject Classification ID

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

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Cited in

(5)

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

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