A functional extension of the Ito formula

DOI10.1016/J.CRMA.2009.11.013zbMATH Open1202.60082OpenAlexW4301667716MaRDI QIDQ847101FDOQ847101

Authors: Rama Cont, David-Antoine Fournié 

Publication date: 12 February 2010

Published in: Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.crma.2009.11.013

Recommendations

• An Extension of Ito’s Differentiation Formula
• A generalization of the Itô formula
• scientific article; zbMATH DE number 4119347
• An extension of the Itô integral
• Itô formula for generalized Lévy functionals
• Extension and Application of Itô's Formula UnderG-Framework
• Functional Itô calculus
• A \(\mathbb{C}^{0, 1}\)-functional Itô's formula and its applications in mathematical finance
• The functional Itō formula under the family of continuous semimartingale measures
• Extension of the ito calculus via the malliavin calculus

zbMATH Keywords

Clark-Haussmann-Ocone formula[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=functional+It%EF%BF%BD%EF%BF%BD+formula&go=Go functional It�� formula]non-anticipative martingale representationpathwise calculus

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Martingales with continuous parameter (60G44) Stochastic integrals (60H05) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• The Malliavin calculus, a functional analytic approach
• Title not available (Why is that?)
• Malliavin's calculus and stochastic integral representations of functional of diffusion processes^†
• An extension of clark' formula
• The Representation of Functionals of Brownian Motion by Stochastic Integrals
• On the integral representation of functionals of ltd processest

Cited In (53)

• Designing universal causal deep learning models: The geometric (Hyper)transformer
• Extension and Application of Itô's Formula UnderG-Framework
• Comparison theorem for nonlinear path-dependent partial differential equations
• A generic decomposition formula for pricing vanilla options under stochastic volatility models
• The Itô formula for anticipative processes with nonmonotonous time scale via the Malliavin calculus
• A financial market of a stochastic delay equation
• Change of variable formulas for non-anticipative functionals on path space
• A Differentiation Theory for Itô's Calculus
• Remarks on Föllmer's pathwise Itô calculus
• Functional and Banach space stochastic calculi: path-dependent Kolmogorov equations associated with the frame of a Brownian motion
• Functional Itō calculus and stochastic integral representation of martingales
• A generalization of the Itô formula
• The functional Itō formula under the family of continuous semimartingale measures
• Non-Markovian fully coupled forward-backward stochastic systems and classical solutions of path-dependent PDES
• Functional Itô calculus
• Optimal stopping with signatures
• Representation of functionals of Itô processes and their first exit times
• An extension of Itô's formula for anticipating processes
• Sensitivity analysis of energy contracts by stochastic programming techniques
• A weak version of path-dependent functional Itô calculus
• Viscosity solutions of path-dependent integro-differential equations
• An infinite-dimensional approach to path-dependent Kolmogorov equations
• Survey on path-dependent PDEs
• Itô's formula for noncommutative \(C^2\) functions of free Itô processes
• Support characterization for regular path-dependent stochastic Volterra integral equations
• The weak functional representation of historical martingales
• Limit behaviour of the minimal solution of a BSDE with singular terminal condition in the non Markovian setting
• BSDE, path-dependent PDE and nonlinear Feynman-Kac formula
• Backward stochastic differential equations with non-Markovian singular terminal conditions for general driver and filtration
• Path-dependent martingale problems and additive functionals
• On the support of solutions to stochastic differential equations with path-dependent coefficients
• Itô-Föllmer calculus in Banach spaces. I: The Itô formula
• Patterns in random walks and Brownian motion
• A note on functional derivatives on continuous paths
• Pathwise calculus for non-anticipative functionals
• Rough differential equations with path-dependent coefficients
• Improved Razumikhin and Krasovskii stability criteria for time-varying stochastic time-delay systems
• Functional Itô calculus, path-dependence and the computation of Greeks
• A simple proof of functional Itô's lemma for semimartingales with an application
• A functional Itô's calculus approach to convex risk measures with jump diffusion
• Path-dependent equations and viscosity solutions in infinite dimension
• An Extension of Ito’s Differentiation Formula
• Distributional It\^o's Formula and Regularization of Generalized Wiener Functionals
• Calculus via regularizations in Banach spaces and Kolmogorov-type path-dependent equations
• Constructive martingale representation in functional Itô calculus: a local martingale extension
• Weak approximation of martingale representations
• Path-Dependent SDEs in Hilbert Spaces
• Pathwise integration with respect to paths of finite quadratic variation
• BSDEs with jumps and path-dependent parabolic integro-differential equations
• Causal functional calculus
• Weak functional calculus for square-integrable processes
• On pathwise quadratic variation for càdlàg functions
• A change of variable formula with Itô correction term

This page was built for publication: A functional extension of the Ito formula

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q847101)