Change of variable formulas for non-anticipative functionals on path space

From MaRDI portal

Publication:984411

Jump to:navigation, search

DOI10.1016/j.jfa.2010.04.017zbMath1201.60051arXiv1004.1380OpenAlexW2097100146MaRDI QIDQ984411

Rama Cont, David-Antoine Fournié

Publication date: 19 July 2010

Published in: Journal of Functional Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1004.1380

zbMATH Keywords

Malliavin calculus Dirichlet process Itô formula functional calculus functional derivative quadratic variation stochastic integral semimartingale Cadlag functions

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07)

Related Items (87)

Quadratic variation along refining partitions: constructions and examples ⋮ A generic decomposition formula for pricing vanilla options under stochastic volatility models ⋮ Path-Dependent SDEs in Hilbert Spaces ⋮ Pairs trading under delayed cointegration ⋮ A weak version of path-dependent functional Itô calculus ⋮ Constructing functions with prescribed pathwise quadratic variation ⋮ A superhedging approach to stochastic integration ⋮ BSDE, path-dependent PDE and nonlinear Feynman-Kac formula ⋮ An infinite-dimensional approach to path-dependent Kolmogorov equations ⋮ A simple proof of functional Itô's lemma for semimartingales with an application ⋮ Viscosity solutions to first order path-dependent Hamilton-Jacobi-Bellman equations in Hilbert space ⋮ Model-Free Portfolio Theory and Its Functional Master Formula ⋮ Path dependent Feynman-Kac formula for forward backward stochastic Volterra integral equations ⋮ Stability for multi-linked stochastic delayed complex networks with stochastic hybrid impulses by dupire Itô's formula ⋮ Path-dependent Hamilton-Jacobi equations in infinite dimensions ⋮ Pathwise integration with respect to paths of finite quadratic variation ⋮ Infinite-dimensional calculus under weak spatial regularity of the processes ⋮ Itô's formula, the stochastic exponential, and change of measure on general time scales ⋮ A nonlinear Kolmogorov equation for stochastic functional delay differential equations with jumps ⋮ Functional Itô calculus, path-dependence and the computation of Greeks ⋮ Stability of stochastic functional differential systems with semi-Markovian switching and Lévy noise by functional Itô's formula and its applications ⋮ The functional Meyer–Tanaka formula ⋮ A model‐free approach to continuous‐time finance ⋮ Feynman-Kac for functional jump diffusions with an application to credit value adjustment ⋮ Feynman-Kac formula for BSDEs with jumps and time delayed generators associated to path-dependent nonlinear Kolmogorov equations ⋮ Rough differential equations with path-dependent coefficients ⋮ Me, myself and I: a general theory of non-Markovian time-inconsistent stochastic control for sophisticated agents ⋮ Viscosity solutions to second order path-dependent Hamilton-Jacobi-Bellman equations and applications ⋮ Model‐free portfolio theory: A rough path approach ⋮ A note on functional derivatives on continuous paths ⋮ Functional Itō calculus and stochastic integral representation of martingales ⋮ Causal functional calculus ⋮ Itô-Föllmer calculus in Banach spaces. I: The Itô formula ⋮ Forward-backward doubly stochastic systems and classical solutions of path-dependent stochastic PDEs ⋮ A càdlàg rough path foundation for robust finance ⋮ Survey on path-dependent PDEs ⋮ Future Expectations Modeling, Random Coefficient Forward–Backward Stochastic Differential Equations, and Stochastic Viscosity Solutions ⋮ The covariation for Banach space valued processes and applications ⋮ A FINANCIAL MARKET OF A STOCHASTIC DELAY EQUATION ⋮ Comparison theorem for nonlinear path-dependent partial differential equations ⋮ On pathwise quadratic variation for càdlàg functions ⋮ On a Chen-Fliess approximation for diffusion functionals ⋮ Stochastic Control and Differential Games with Path-Dependent Influence of Controls on Dynamics and Running Cost ⋮ Change of variable formulas for non-anticipative functionals ⋮ Pathwise integration and change of variable formulas for continuous paths with arbitrary regularity ⋮ Stochastic systems with memory and jumps ⋮ Itô calculus without probability in idealized financial markets ⋮ On a class of generalized Takagi functions with linear pathwise quadratic variation ⋮ Stochastic functional Kolmogorov equations. I: Persistence ⋮ A BSDE with delayed generator approach to pricing under counterparty risk and collateralization ⋮ Optimal liquidation problem in illiquid markets ⋮ Path-dependent equations and viscosity solutions in infinite dimension ⋮ Weak differentiability of Wiener functionals and occupation times ⋮ Recurrence and ergodicity of switching diffusions with past-dependent switching having a countable state space ⋮ Recurrence for switching diffusion with past dependent switching and countable state space ⋮ Remarks on Föllmer's pathwise Itô calculus ⋮ Stochastic integration and differential equations for typical paths ⋮ Bilinear equations in Hilbert space driven by paths of low regularity ⋮ Patterns in Random Walks and Brownian Motion ⋮ Weak approximation of martingale representations ⋮ On the quadratic variation of the model-free price paths with jumps ⋮ Functional and Banach Space Stochastic Calculi: Path-Dependent Kolmogorov Equations Associated with the Frame of a Brownian Motion ⋮ Path-Dependent Deep Galerkin Method: A Neural Network Approach to Solve Path-Dependent Partial Differential Equations ⋮ BSDEs with jumps and path-dependent parabolic integro-differential equations ⋮ Viscosity solutions of path-dependent integro-differential equations ⋮ TRAJECTORY-BASED MODELS, ARBITRAGE AND CONTINUITY ⋮ Local times and Tanaka-Meyer formulae for càdlàg paths ⋮ Comparison of Viscosity Solutions of Semilinear Path-Dependent PDEs ⋮ Pathwise no-arbitrage in a class of delta hedging strategies ⋮ Path-dependent backward stochastic Volterra integral equations with jumps, differentiability and duality principle ⋮ Non-Markovian fully coupled forward–backward stochastic systems and classical solutions of path-dependent PDES ⋮ The functional Itō formula under the family of continuous semimartingale measures ⋮ Stochastic functional Kolmogorov equations. II: Extinction ⋮ A martingale approach for fractional Brownian motions and related path dependent PDEs ⋮ A quasi-sure optional decomposition and super-hedging result on the Skorokhod space ⋮ Path-dependent BSDEs with jumps and their connection to PPIDEs ⋮ Calculus via regularizations in Banach spaces and Kolmogorov-type path-dependent equations ⋮ On the support of solutions to stochastic differential equations with path-dependent coefficients ⋮ A functional Itō-formula for Dawson-Watanabe superprocesses ⋮ Crandall-Lions viscosity solutions for path-dependent PDEs: the case of heat equation ⋮ Stability of stochastic functional differential equations with regime-switching: analysis using Dupire's functional Itô formula ⋮ Decoupled mild solutions of path-dependent PDEs and integro PDEs represented by BSDEs driven by cadlag martingales ⋮ The weak functional representation of historical martingales ⋮ Path‐dependent Hamilton–Jacobi–Bellman equations related to controlled stochastic functional differential systems ⋮ Piecewise-tunneled captive processes and corridored random particle systems ⋮ Quadratic variation and quadratic roughness ⋮ Path-dependent optimal stochastic control and viscosity solution of associated Bellman equations

Cites Work

This page was built for publication: Change of variable formulas for non-anticipative functionals on path space

Retrieved from "https://portal.mardi4nfdi.de/w/index.php?title=Publication:984411&oldid=12968332"