The functional Meyer–Tanaka formula

DOI10.1142/S0219493718500302zbMATH Open1394.60076arXiv1408.4193OpenAlexW3121223669MaRDI QIDQ4584281FDOQ4584281

Yuri F. Saporito

Publication date: 29 August 2018

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

Abstract: The functional Ito formula, firstly introduced by Bruno Dupire for continuous semimartingales, might be extended in two directions: different dynamics for the underlying process and/or weaker assumptions on the regularity of the functional. In this paper, we pursue the former type by proving the functional version of the Meyer-Tanaka Formula. Following the idea of the proof of the classical time-dependent Meyer-Tanaka formula, we study the mollification of functionals and its convergence properties. As an example, we study the running maximum and the max-martingales of Yor and Obloj.

Full work available at URL: https://arxiv.org/abs/1408.4193

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zbMATH Keywords

local timemollificationrunning maximumMeyer-Tanaka formulafunctional Itô calculusmax-martingales

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Sample path properties (60G17) Stochastic analysis (60H99)

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Cited In (6)

• Understanding the dual formulation for the hedging of path-dependent options with price impact
• Comparison of Viscosity Solutions of Semilinear Path-Dependent PDEs
• A quasi-sure optional decomposition and super-hedging result on the Skorokhod space
• Local times and Tanaka-Meyer formulae for càdlàg paths
• A \(\mathbb{C}^{0, 1}\)-functional Itô's formula and its applications in mathematical finance
• Weak differentiability of Wiener functionals and occupation times

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