Abstract
The focus of these lectures is to define a calculus which can be used to describe the variations of interesting classes of functionals of a given reference stochastic process X. In order to cover interesting examples of processes, we allow X to have right-continuous paths with left limits, i.e., its paths lie in the space \( D\left( {\left[ {0,\,T} \right],\,{\mathbb{R}}^d } \right) \) of càdlàg paths.
Preview
Unable to display preview. Download preview PDF.
Similar content being viewed by others
Author information
Authors and Affiliations
Editor information
Editors and Affiliations
Rights and permissions
Copyright information
© 2016 Springer International Publishing Switzerland
About this chapter
Cite this chapter
Cont, R. (2016). Pathwise calculus for non-anticipative functionals. In: Utzet, F., Vives, J. (eds) Stochastic Integration by Parts and Functional Itô Calculus. Advanced Courses in Mathematics - CRM Barcelona. Birkhäuser, Cham. https://doi.org/10.1007/978-3-319-27128-6_5
Download citation
DOI: https://doi.org/10.1007/978-3-319-27128-6_5
Published:
Publisher Name: Birkhäuser, Cham
Print ISBN: 978-3-319-27127-9
Online ISBN: 978-3-319-27128-6
eBook Packages: Mathematics and StatisticsMathematics and Statistics (R0)