The functional Itō formula under the family of continuous semimartingale measures
Dupire [16] introduced a notion of smoothness for functionals of paths and arrived at a generalization of Itō’s formula that applies to functionals with a continuous dependence on the trajectories of the underlying process. In this paper, we study nonlinear functionals that do not have such continui...
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| Format: | Journal article |
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World Scientific Publishing
2015
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