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- W2013367243 abstract "The Ito formula was extended recently by Dupire (2009) to functionals of paths of continuous semimartingales, and by Cont and Fournie (2010) to functionals of paths of RCLL semimartingales. In contrast to the traditional formula that applies to functions of the current value of a process, these extensions apply to functionals of the history of a process. By modifying Dupire's setup we develop new proofs for both the continuous case and the more general RCLL case that are much simpler. We also examine an application to optimal control." @default.
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- W2013367243 date "2013-01-01" @default.
- W2013367243 modified "2023-09-23" @default.
- W2013367243 title "A Simple Proof of Functional Itô's Lemma for Semimartingales with an Application" @default.
- W2013367243 cites W1995522593 @default.
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- W2013367243 doi "https://doi.org/10.2139/ssrn.2266460" @default.
- W2013367243 hasPublicationYear "2013" @default.
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