✳flâneur — a map of the web's best reading
On the Functional Levy-Ito Stochastic Calculus
arxiv.org · saved by 1 readers
Several versions of Itô's formula have been obtained in the context of the functional stochastic calculus. Here, we revisit this topic in two ways. First, by defining a notion of derivative along a functional, we extend the setting of the (semimartingale) functional Itô's formula and corresponding calculus. Second, for Lévy processes, an optimal local-time based Itô's formula is obtained. Some quick applications are then given.
Explore this link on the map →