An Optimal Functional Itô's Formula For Lévy Processes

2024/06/02 by Houdré, Christian, Víquez, Jorge
#FOS: Mathematics #Probability (math.PR)

paper · doi:10.48550/arxiv.2406.00601

Abstract

Several versions of Itô's formula have been obtained in the setting of the functional stochastic calculus. In this regard, we present a local time-space version that works for arbitrary bounded and continuous functionals of Lévy processes and which does not depend on a functional's Hölder continuity.

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