Recent Developments on Functional Itô Calculus - Lie Bracket and Tanaka Formula by Yuri Saporito

Event Date: 

Monday, April 18, 2016 -
3:30pm to 5:00pm

Event Date Details: 

Refreshments served at 3:15 p.m. 

Event Location: 

  • South Hall 5607F

Yuri Saporito — FGV, Rio de Janeiro, Brazil 

Title: Recent Developments on Functional Itô Calculus - Lie Bracket and Tanaka Formula

Abstract: The functional Itô 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 talk, we will discuss the functional version of the Meyer-Tanaka Formula for the class of convex functionals. Moreover, we will introduce a measure of path-dependence of functionals within the functional Itô calculus framework. Namely, we consider the Lie bracket of the space and time functional derivatives, which we use to classify functionals according to their degree of path-dependence.