Change of variable formulas for non-anticipative functionals

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Change of variable formulas for non-anticipative functionals

机译：用于非预期功能的可变公式的变化

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摘要

For non-anticipative functionals, differentiable in Chitashvili's sense, the Ito formula for cadlag semimartingales is proved. Relations between different notions of functional derivatives are established.

机译：对于非预期的功能，在南科尔维斯的可怜的函数中，证明了CADLAG半组的ITO公式。建立了不同衍生品的不同概念之间的关系。

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《Infinite dimensional analysis, quantum probability, and related topics》 |2020年第1期|共21页
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正文语种 eng
中图分类物理学;
关键词
The Ito formula; semimartingales; non-anticipative functionals; functional derivatives;

机译：ITO公式;半颗星;非预期功能;功能衍生物;

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7. Change of variable formulas for non-anticipative functionals on path space [O] . Cont, Rama, Fournie, David-Antoine 2010

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8. Polynomial Smoothing Formulas and Derivative Formulas for One or Two Independent Variables [R] . Semtner, A. J. 1968

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Change of variable formulas for non-anticipative functionals

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