An Optimal Functional It\^{o}'s Formula For L\'{e}vy Processes
Probability
2024-06-04 v1
Abstract
Several versions of It\^{o}'s formula have been obtained in the setting of the functional stochastic calculus. In this regard, we present a local time-space version that works for arbitrary bounded and continuous functionals of L\'{e}vy processes and which does not depend on a functional's H\"{o}lder continuity.
Keywords
Cite
@article{arxiv.2406.00601,
title = {An Optimal Functional It\^{o}'s Formula For L\'{e}vy Processes},
author = {Christian Houdré and Jorge Víquez},
journal= {arXiv preprint arXiv:2406.00601},
year = {2024}
}