A simple proof of functional Itô’s lemma for semimartingales with an application
Year of publication: |
2013
|
---|---|
Authors: | Levental, Shlomo ; Schroder, Mark ; Sinha, Sumit |
Published in: |
Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 83.2013, 9, p. 2019-2026
|
Publisher: |
Elsevier |
Subject: | Functional Itô lemma | Semimartingales | Optimal control |
-
Analysis of Fourier Transform Valuation Formulas and Applications
Eberlein, Ernst, (2010)
-
On quadratic hedging in continuous time
Pham, Huyên, (2000)
-
Limit theorems for multipower variation in the presence of jumps
Shephard, Neil, (2005)
- More ...
-
Linked recursive preferences and optimality
Levental, Shlomo, (2016)
-
A Simple Proof of Functional Itô's Lemma for Semimartingales with an Application
Levental, Shlomo, (2013)
-
Linked Recursive Preferences and Optimality
Levental, Shlomo, (2013)
- More ...