On Change of Variable Formulas for non-anticipative functionals
classification
🧮 math.PR
keywords
functionalsnon-anticipativecadlagchangechitashviliderivativesdifferentdifferentiable
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For non-anticipative functionals, differentiable in Chitashvili's sense, the It\^o formula for cadlag semimartingales is proved. Relations between different notions of functional derivatives are established.
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