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Can I read A functional extension of the Ito formula on EtoBox?
A functional extension of the Ito formula by Rama Cont; David Fournie is a Mathematics article available to read on EtoBox.
What is A functional extension of the Ito formula about?
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.
Who reads A functional extension of the Ito formula?
It is typically read by researchers, students, and practitioners in Mathematics.
- Author
- Rama Cont; David Fournie
- Publisher
- Elsevier Science; Elsevier ; Elsevier Masson; Elsevier BV; Cellule MathDoc/CEDRAM (ISSN 1631-073X)
- Published
- 2010
- Language
- EN
- Field
- Mathematics (Physical Sciences)