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math.PR2026
Derivatives Along a Curve and the Functional Stochastic Calculus
Christian Houdré, Jorge Víquez
Motivated by extending the functional stochastic calculus, to important functionals to which it does not apply, a notion of functional derivative along a curve is introduced. This…
math.PR2024
An Optimal Functional Itô's Formula For Lévy Processes
Christian Houdré, Jorge Víquez
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 arbi…