2 citations · 4 across the 2 of their papers we have counts for
2 papers
math.PR2021★ 2 cited
A -functional Itô's formula and its applications in mathematical finance
Bruno Bouchard, Grégoire Loeper, Xiaolu Tan
Using Dupire's notion of vertical derivative, we provide a functional (path-dependent) extension of the Itô's formula of Gozzi and Russo (2006) that applies to C^{0,1}-functions of…
math.PR2015★ 2 cited
A pseudo-Markov property for controlled diffusion processes
Julien Claisse, Denis Talay, Xiaolu Tan
In this note, we propose two different approaches to rigorously justify a pseudo-Markov property for controlled diffusion processes which is often (explicitly or implicitly) used t…