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arXiv · 2406.00601

An Optimal Functional It\^{o}'s Formula For L\'{e}vy Processes

Christian Houdré·Jorge Víquez
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Abstract

Several versions of It\^{o}'s formula have been obtained in the setting of the functional stochastic calculus. In this regard, we present a local time-space version that works for arbitrary bounded and continuous functionals of L\'{e}vy processes and which does not depend on a functional's H\"{o}lder continuity.

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Christian Houdré, Jorge Víquez. 2024-06-02. An Optimal Functional It\^{o}'s Formula For L\'{e}vy Processes. https://arxiv.org/abs/2406.00601

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