An Optimal Functional Itô's Formula For Lévy Processes

Published 2 Jun 2024 in math.PR | (2406.00601v1)

Abstract: Several versions of It^{o}'s formula have been obtained in the setting of the functional stochastic calculus. In this regard, we present a local time-space version that works for arbitrary bounded and continuous functionals of L\'{e}vy processes and which does not depend on a functional's H\"{o}lder continuity.

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