Change of variable formulas for non-anticipative functionals-Reference-Cited by-同舟云学术

Change of variable formulas for non-anticipative functionals

Published:2020-03 Issue:01 Volume:23 Page:2050006
ISSN:0219-0257
Container-title:Infinite Dimensional Analysis, Quantum Probability and Related Topics
language:en
Short-container-title:Infin. Dimens. Anal. Quantum. Probab. Relat. Top.

Author:

Mania Michael¹²,Tevzadze Revaz³⁴

Affiliation:

1. A. Razmadze Mathematical Institute of Tbilisi State University, 6 Tamarashvili Street, Tbilisi 0177, Georgia

2. Georgian-American University, 8 Aleksidze Street, Tbilisi 0193, Georgia

3. University of Georgia, 77a, Merab Kostava street, Tbilisi 0171, Georgia

4. Institute of Cybernetics, 5 Euli Street, Tbilisi 0186, Georgia

Abstract

For non-anticipative functionals, differentiable in Chitashvili’s sense, the Itô formula for cadlag semimartingales is proved. Relations between different notions of functional derivatives are established.

Publisher

World Scientific Pub Co Pte Lt

Subject

Applied Mathematics,Mathematical Physics,Statistics and Probability,Statistical and Nonlinear Physics

Link

https://www.worldscientific.com/doi/pdf/10.1142/S021902572050006X

Reference15 articles.

1. Semimartingale integral representation

2. Martingale ideology in the theory of controlled stochastic processes

3. Functional Kolmogorov equations

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

5. Functional Itô calculus and stochastic integral representation of martingales

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