Work

Rough functional Itô formula

Year: 2025

Type: article

Abstract: We prove a rough Itô formula for path-dependent functionals of α -Hölder continuous paths for α ∈ ( 0 , 1 ) . Our approach combines the sewing lemma and a Taylor approximation in terms of path-dependent derivatives.

Source: Stochastic Processes and their Applications

DOI: 10.1016/j.spa.2025.104826

Author: Franziska Bielert

Institution: Technische Universität Berlin

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: hybrid

Estimated APC paid: $3,520

Funders: Deutsche Forschungsgemeinschaft, Technische Universität Berlin

Award: GRK 2544: Stochastische Analysis in Interaktion

OpenAlex ID: W4416065610

FWCI:

Cites: 5

Cited by:

Related to: