Change of variable formulas for non-anticipative functionals

DOI10.1142/S021902572050006XzbMath1461.60058arXiv1903.11571OpenAlexW3033265844MaRDI QIDQ3298328

Michael Mania, Revaz Tevzadze

Publication date: 14 July 2020

Published in: Infinite Dimensional Analysis, Quantum Probability and Related Topics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1903.11571

zbMATH Keywords

semimartingalesItô formulafunctional derivativesnon-anticipative functionals

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivatives of functions in infinite-dimensional spaces (46G05)

Related Items (2)

Causal functional calculus ⋮ For which functions are 𝑓(𝑋_{𝑡})-𝔼𝕗(𝕏_{𝕥}) and 𝕘(𝕏_{𝕥})/𝔼𝕘(𝕏_{𝕥}) martingales?

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