A note on functional derivatives on continuous paths

DOI10.1016/j.spl.2015.07.024zbMath1397.60089OpenAlexW2185792667MaRDI QIDQ900553

Shuzhen Yang, Shaolin Ji

Publication date: 22 December 2015

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2015.07.024

zbMATH Keywords

backward stochastic differential equationsFréchet derivativesfunctional Itô's calculuspath-dependent PDEsDupire derivatives

Mathematics Subject Classification ID

Fréchet and Gateaux differentiability in optimization (49J50) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic integrals (60H05)

Related Items (1)

Path-dependent Hamilton-Jacobi equations: the minimax solutions revised

Cites Work

• A functional extension of the Ito formula
• Change of variable formulas for non-anticipative functionals on path space
• Functional Itō calculus and stochastic integral representation of martingales
• On viscosity solutions of path dependent PDEs
• BSDE, path-dependent PDE and nonlinear Feynman-Kac formula
• A simple proof of functional Itô's lemma for semimartingales with an application
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