Journal article
The functional Itō formula under the family of continuous semimartingale measures
- Abstract:
-
Dupire [16] introduced a notion of smoothness for functionals of paths and arrived at a generalization of Itō’s formula that applies to functionals with a continuous dependence on the trajectories of the underlying process. In this paper, we study nonlinear functionals that do not have such continuity. By revisiting old work of Bichteler and Karandikar we show that one can construct pathwise versions of complex functionals like the quadratic variation, stochastic integrals or Itō processes th...
Expand abstract
- Publication status:
- Published
- Peer review status:
- Peer reviewed
Actions
Access Document
- Files:
-
-
(Accepted manuscript, pdf, 359.9KB)
-
- Publisher copy:
- 10.1142/S0219493716500106
Authors
Bibliographic Details
- Publisher:
- World Scientific Publishing Publisher's website
- Journal:
- Stochastics and Dynamics Journal website
- Volume:
- 16
- Issue:
- 04
- Pages:
- ARTN 1650010
- Publication date:
- 2015-10-06
- Acceptance date:
- 2015-09-28
- DOI:
- EISSN:
-
1793-6799
- ISSN:
-
0219-4937
Item Description
- Keywords:
- Pubs id:
-
pubs:548173
- UUID:
-
uuid:3a21c3be-2b5f-4ef3-821e-34e1a67976a1
- Local pid:
- pubs:548173
- Source identifiers:
-
548173
- Deposit date:
- 2018-03-21
Terms of use
- Copyright holder:
- World Scientific Publishing
- Copyright date:
- 2015
- Notes:
- © 2015 World Scientific Publishing Co Pte Ltd. This is the accepted manuscript version of the article. The final version is available online from World Scientific Publishing at: https://doi.org/10.1142/S0219493716500106
Metrics
If you are the owner of this record, you can report an update to it here: Report update to this record