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- W3121223669 abstract "The functional Ito formula, firstly introduced by Bruno Dupire for continuous semimartingales, might be extended in two directions: different dynamics for the underlying process and/or weaker assumptions on the regularity of the functional. In this paper, we pursue the former type by proving the functional version of the Meyer-Tanaka Formula. Following the idea of the proof of the classical time-dependent Meyer-Tanaka formula, we study the mollification of functionals and its convergence properties. As an example, we study the running maximum and the max-martingales of Yor and Obloj." @default.
- W3121223669 created "2021-02-01" @default.
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- W3121223669 date "2018-08-01" @default.
- W3121223669 modified "2023-10-03" @default.
- W3121223669 title "The functional Meyer–Tanaka formula" @default.
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- W3121223669 doi "https://doi.org/10.1142/s0219493718500302" @default.
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