The functional Meyer–Tanaka formula
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Publication:4584281
DOI10.1142/S0219493718500302zbMath1394.60076arXiv1408.4193OpenAlexW3121223669MaRDI QIDQ4584281
Publication date: 29 August 2018
Published in: Stochastics and Dynamics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1408.4193
Sample path properties (60G17) Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic analysis (60H99)
Related Items (6)
A \(\mathbb{C}^{0, 1}\)-functional Itô's formula and its applications in mathematical finance ⋮ Understanding the dual formulation for the hedging of path-dependent options with price impact ⋮ Weak differentiability of Wiener functionals and occupation times ⋮ Local times and Tanaka-Meyer formulae for càdlàg paths ⋮ Comparison of Viscosity Solutions of Semilinear Path-Dependent PDEs ⋮ A quasi-sure optional decomposition and super-hedging result on the Skorokhod space
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