论文信息 - A functional extension of the Ito formula

A functional extension of the Ito formula

Abstract We develop a non-anticipative pathwise calculus for functionals of a Brownian semimartingale and its quadratic variation. A functional Ito formula is obtained for locally Lipschitz functionals of a Brownian semimartingale and its quadratic variation. As a result we obtain a constructive martingale representation theorem for Brownian martingales verifying a regularity property.

Rama Cont | R. Cont | David-Antoine Fournie | David-Antoine Fournié

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