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

DOI10.1016/J.JFA.2010.04.017zbMATH Open1201.60051arXiv1004.1380OpenAlexW2097100146MaRDI QIDQ984411FDOQ984411

Authors: Rama Cont, David-Antoine Fournié 

Publication date: 19 July 2010

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

Abstract: We derive a functional change of variable formula for {it non-anticipative} functionals defined on the space of right continuous paths with left limits. The functional is only required to possess certain directional derivatives, which may be computed pathwise. Our results lead to functional extensions of the Ito formula for a large class of stochastic processes, including semimartingales and Dirichlet processes. In particular, we show the stability of the class of semimartingales under certain functional transformations. Keywords: change of variable formula, functional derivative, functional calculus, stochastic integral, stochastic calculus, quadratic variation, Ito formula, Dirichlet process, semimartingale, Wiener space, F"ollmer integral, Ito integral, cadlag functions.

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

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zbMATH Keywords

Malliavin calculusDirichlet processsemimartingalequadratic variationfunctional calculus[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=It%EF%BF%BD%EF%BF%BD+formula&go=Go It�� formula]stochastic integralfunctional derivativeCadlag functions

Mathematics Subject Classification ID

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

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