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| Main Authors: | , |
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| Format: | Preprint |
| Published: |
2024
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| Subjects: | |
| Online Access: | https://arxiv.org/abs/2406.00601 |
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| _version_ | 1866911898853703680 |
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| author | Houdré, Christian Víquez, Jorge |
| author_facet | Houdré, Christian Víquez, Jorge |
| contents | Several versions of Itô'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 Lévy processes and which does not depend on a functional's Hölder continuity. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2406_00601 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | An Optimal Functional Itô's Formula For Lévy Processes Houdré, Christian Víquez, Jorge Probability Several versions of Itô'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 Lévy processes and which does not depend on a functional's Hölder continuity. |
| title | An Optimal Functional Itô's Formula For Lévy Processes |
| topic | Probability |
| url | https://arxiv.org/abs/2406.00601 |