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arXiv · 1903.11571

On Change of Variable Formulas for non-anticipative functionals

Michael Mania·Revaz Tevzadze
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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.

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Michael Mania, Revaz Tevzadze. 2019-03-27. On Change of Variable Formulas for non-anticipative functionals. https://arxiv.org/abs/1903.11571

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