It{\^o}-Dupire's formula for C^{0,1}-functionals of c{\`a}dl{\`a}g weak Dirichlet processes

Bruno Bouchard; Maximilien Vallet

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arXiv · 2110.03406

It{\^o}-Dupire's formula for C^{0,1}-functionals of c{\`a}dl{\`a}g weak Dirichlet processes

Bruno Bouchard·Maximilien Vallet

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Abstract

We extend to c{\`a}dl{\`a}g weak Dirichlet processes the C^{0,1}-functional It{\^o}-Dupire's formula of Bouchard, Loeper and Tan (2021). In particular, we provide sufficient conditions under which a C^{0,1}-functional transformation of a special weak Dirichlet process remains a special weak Dirichlet process. As opposed to Bandini and Russo (2018) who considered the Markovian setting, our approach is not based on the approximation of the functional by smooth ones, which turns out not to be available in the pathdependent case. We simply use a small-jumps cutting argument.

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Bruno Bouchard, Maximilien Vallet. 2021-10-07. It{\^o}-Dupire's formula for C^{0,1}-functionals of c{\`a}dl{\`a}g weak Dirichlet processes. https://arxiv.org/abs/2110.03406

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