Comparison of path-dependent functionals of semimartingales
arXiv:1908.10076
Abstract
Based on an extension of the martingale comparison method some comparison results for path-dependent functions of semimartingales are established. The proof makes essential use of the functional Itô calculus. A main tool is an extension of the Kolmogorov backwards equation to path-dependent functions. The paper also derives criteria for the regularity conditions of the comparison theorems and discusses applications as to the comparison of Asian options for semimartingale models.