Rough Functional Itô Formula
Fuente:
arXiv
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| Autor principal: | |
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| Formato: | Preprint |
| Publicado: |
2024
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| Materias: | |
| Acceso en línea: | |
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| _version_ | 1866911051061133312 |
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| author | Bielert, Franziska |
| author_facet | Bielert, Franziska |
| contents | We prove a rough Itô formula for path-dependent functionals of $α$-Hölder continuous paths for $α\in(0,1)$. Our approach combines the sewing lemma and a Taylor approximation in terms of path-dependent derivatives. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2409_02532 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Rough Functional Itô Formula Bielert, Franziska Probability 60L20, 60H20, 41A58, 60L10 We prove a rough Itô formula for path-dependent functionals of $α$-Hölder continuous paths for $α\in(0,1)$. Our approach combines the sewing lemma and a Taylor approximation in terms of path-dependent derivatives. |
| title | Rough Functional Itô Formula |
| topic | Probability 60L20, 60H20, 41A58, 60L10 |
| url | https://arxiv.org/abs/2409.02532 |