A functional extension of the Ito formula

Comptes Rendus Mathematique

Volumn 348, Issue 1-2, 2010, Pages 57-61

  Cont, Rama ^a,b   Fournie, David ^b  

^a SORBONNE UNIVERSITÉ   (France)

^b Och Spine at New York Presbyterian Hospitals   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 74249122962     PISSN: 1631073X     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.crma.2009.11.013     Document Type: Article

References (10)

1. Clark J.M.C. The representation of functionals of Brownian motion by stochastic integrals. Ann. Math. Statist. 41 (1970) 1282-1295
2. R. Cont, D. Fournié, Functional Ito formula and stochastic integral representation of Brownian functionals, working paper, 2009
3. Dupire B. Functional Itô calculus. Bloomberg Portfolio Research Paper No. 2009-04-FRONTIERS (2009). http://ssrn.com/abstract=1435551
4. Föllmer H. Calcul d'Itô sans probabilités. Séminaire de Probabilités vol. XV (1981), Springer, Berlin 143-150
5. Haussmann U.G. On the integral representation of functionals of Itô processes. Stochastics 3 (1979) 17-27
6. Karatzas I., Ocone D.L., and Li J. An extension of Clark's formula. Stochastics Stochastics Rep. 37 (1991) 127-131
7. Malliavin P. Stochastic Analysis (1997), Springer
8. Nualart D. The Malliavin Calculus and Related Topics (1995), Springer
9. Ocone D.L. Malliavin's calculus and stochastic integral representations of functionals of diffusion processes. Stochastics 12 (1984) 161-185
10. Stroock D.W. The Malliavin calculus, a functional analytic approach. J. Funct. Anal. 44 (1981) 212-257