Date
Mon, 18 Nov 2013
Time
14:15 - 15:15
Location
Oxford-Man Institute
Speaker
Cristina Di Girolami
Organisation
Università G.D'Annunzio di Pescara (Italy) and Université du Maine

This talk develops some aspects of stochastic calculus via regularization for processes with values in a general Banach space B.

A new concept of quadratic variation which depends on a particular subspace is introduced.

An Itô formula and stability results for processes admitting this kind of quadratic variation are presented.

Particular interest is devoted to the case when B is the space of real continuous functions defined on [-T,0], T>0 and the process is the window process X(•) associated with a continuous real process X which, at time t, it takes into account the past of the process.

If X is a finite quadratic variation process (for instance Dirichlet, weak Dirichlet), it is possible to represent a large class of path-dependent random variable h as a real number plus a real forward integral in a semiexplicite form.

This representation result of h makes use of a functional solving an infinite dimensional partial differential equation.

This decomposition generalizes, in some cases, the Clark-Ocone formula which is true when X is the standard Brownian motion W. Some stability results will be given explicitly.

This is a joint work with Francesco Russo (ENSTA ParisTech Paris)."

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