A note on functional derivatives on continuous paths
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Publication:900553
DOI10.1016/j.spl.2015.07.024zbMath1397.60089OpenAlexW2185792667MaRDI QIDQ900553
Publication date: 22 December 2015
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spl.2015.07.024
backward stochastic differential equationsFréchet derivativesfunctional Itô's calculuspath-dependent PDEsDupire derivatives
Fréchet and Gateaux differentiability in optimization (49J50) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic integrals (60H05)
Related Items (1)
Cites Work
- A functional extension of the Ito formula
- Change of variable formulas for non-anticipative functionals on path space
- Functional Itō calculus and stochastic integral representation of martingales
- On viscosity solutions of path dependent PDEs
- BSDE, path-dependent PDE and nonlinear Feynman-Kac formula
- A simple proof of functional Itô's lemma for semimartingales with an application
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