Artigo científico
The functional Meyer–Tanaka formula
Saporito, Yuri Fahham
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Resumo
The functional Itô formula, firstly introduced by Bruno Dupire for continuous semimartingales, might be extended in two directions: different dynamics for the underlying process and/or weaker assumptions on the regularity of the functional. In this paper, we pursue the former type by proving the functional version of the Meyer–Tanaka formula. Following the idea of the proof of the classical time-dependent Meyer–Tanaka formula, we study the mollification of functionals and its convergence properties. As an example, we study the running maximum and the max-martingales of Yor and Obłój.
Ficha do documento
- Tipo
- Artigo científico
- Ano
- 2017
- Instituição
- World Scientific Publishing Co. Pte Ltd
- Fonte
- Repositório da FGV
- Idioma
- Inglês
- Acesso
- Acesso restrito
- Identificador
- oai:repositorio.fgv.br:10438/25608
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