Change of variable formulas for non-anticipative functionals on path space
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.
Cite
@article{arxiv.1004.1380,
title = {Change of variable formulas for non-anticipative functionals on path space},
author = {Rama Cont and David-Antoine Fournie},
journal= {arXiv preprint arXiv:1004.1380},
year = {2010}
}