Causal functional calculus
File(s)
Author(s)
Chiu, Henry
Cont, Rama
Type
Journal Article
Abstract
We construct a new topology on the space of stopped paths and introduce a calculus for causal functionals on generic domains of this space. We propose a generic approach to pathwise integration without any assumption on the variation index of a path and obtain functional change of variable formulas which extend the results of \follmer\ (1981) and Cont \& Fournié (2010) to a larger class of functionals, including \follmer's pathwise integrals. We show that a class of smooth functionals possess a pathwise analogue of the martingale property. For paths that possess finite quadratic variation, our approach extends Föllmer-Ito calculus and removes previous restriction on the time partition sequence. We introduce a foliation structure on this path space and show that harmonic functionals may be represented as pathwise integrals of closed 1-forms.
Date Issued
2022-12
Date Acceptance
2022-08-21
Citation
Transactions of the London Mathematical Society, 2022, 9 (1), pp.237-269
ISSN
2052-4986
Publisher
London Mathematical Society
Start Page
237
End Page
269
Journal / Book Title
Transactions of the London Mathematical Society
Volume
9
Issue
1
Copyright Statement
© 2022 The Authors. Transactions of the London Mathematical Society is copyright © London Mathematical Society.
This is an open access article under the terms of the Creative Commons Attribution License, which permits use, distribution and reproduction in any medium, provided the original work is properly cited.
This is an open access article under the terms of the Creative Commons Attribution License, which permits use, distribution and reproduction in any medium, provided the original work is properly cited.
License URL
Identifier
https://londmathsoc.onlinelibrary.wiley.com/doi/10.1112/tlm3.12050
Publication Status
Published
Date Publish Online
2022-10-08