The functional Itō formula under the family of continuous semimartingale measures
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Publication:2810660
DOI10.1142/S0219493716500106zbMath1339.60066MaRDI QIDQ2810660
Publication date: 3 June 2016
Published in: Stochastics and Dynamics (Search for Journal in Brave)
Related Items (10)
A weak version of path-dependent functional Itô calculus ⋮ Functional Itô calculus, path-dependence and the computation of Greeks ⋮ The functional Meyer–Tanaka formula ⋮ Causal functional calculus ⋮ Stochastic Control and Differential Games with Path-Dependent Influence of Controls on Dynamics and Running Cost ⋮ Change of variable formulas for non-anticipative functionals ⋮ Weak differentiability of Wiener functionals and occupation times ⋮ Path-Dependent Deep Galerkin Method: A Neural Network Approach to Solve Path-Dependent Partial Differential Equations ⋮ Comparison of Viscosity Solutions of Semilinear Path-Dependent PDEs ⋮ Crandall-Lions viscosity solutions for path-dependent PDEs: the case of heat equation
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- Controlled Markov processes and viscosity solutions
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