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Itô-Dupire's formula for C^{0,1}-functionals of càdlàg weak Dirichlet processes

hal.structure.identifierCEntre de REcherches en MAthématiques de la DEcision [CEREMADE]
dc.contributor.authorBouchard, Bruno
hal.structure.identifierCEntre de REcherches en MAthématiques de la DEcision [CEREMADE]
dc.contributor.authorVallet, Maximilien
dc.date.accessioned2022-02-11T11:23:51Z
dc.date.available2022-02-11T11:23:51Z
dc.date.issued2021
dc.identifier.urihttps://basepub.dauphine.psl.eu/handle/123456789/22569
dc.language.isoenen
dc.subject.ddc519en
dc.titleItô-Dupire's formula for C^{0,1}-functionals of càdlàg weak Dirichlet processesen
dc.typeDocument de travail / Working paper
dc.description.abstractenWe extend to càdlàg weak Dirichlet processes the C^{0,1}-functional Itô-Dupire's formula of Bouchard, Loeper and Tan (2021). In particular, we provide sufficient conditions under which a C^{0,1}-functional transformation of a special weak Dirichlet process remains a special weak Dirichlet process. As opposed to Bandini and Russo (2018) who considered the Markovian setting, our approach is not based on the approximation of the functional by smooth ones, which turns out not to be available in the pathdependent case. We simply use a small-jumps cutting argument.en
dc.publisher.cityParisen
dc.identifier.citationpages15en
dc.relation.ispartofseriestitleCahier de recherche CEREMADE, Université Paris Dauphine-PSLen
dc.identifier.urlsitehttps://hal.archives-ouvertes.fr/hal-03368703en
dc.subject.ddclabelProbabilités et mathématiques appliquéesen
dc.identifier.citationdate2021
dc.description.ssrncandidatenon
dc.description.halcandidatenonen
dc.description.readershiprechercheen
dc.description.audienceInternationalen
dc.date.updated2022-02-11T11:21:27Z
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