On Change of Variable Formulas for non-anticipative functionals
Probability
2019-03-28 v1
Abstract
For non-anticipative functionals, differentiable in Chitashvili's sense, the It\^o formula for cadlag semimartingales is proved. Relations between different notions of functional derivatives are established.
Cite
@article{arxiv.1903.11571,
title = {On Change of Variable Formulas for non-anticipative functionals},
author = {Michael Mania and Revaz Tevzadze},
journal= {arXiv preprint arXiv:1903.11571},
year = {2019}
}