On the Functional L\'evy-It\o Stochastic Calculus
Abstract
Several versions of It\o's formula have been obtained in the context of the functional stochastic calculus. Here, we revisit this topic in two ways. First, by defining a notion of derivative along a functional, we extend the setting of the (semimartingale) functional It\o's formula and corresponding calculus. Second, for L\'evy processes, an optimal local-time based It\o's formula is obtained. Some quick applications are then given.
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