Rough functional Itô formula

Franziska Bielert

Stochastic Processes and their Applications, 2026, vol. 192, issue C

Abstract: We prove a rough Itô formula for path-dependent functionals of α-Hölder continuous paths for α∈(0,1). Our approach combines the sewing lemma and a Taylor approximation in terms of path-dependent derivatives.

Date: 2026
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0304414925002704
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:192:y:2026:i:c:s0304414925002704

Ordering information: This journal article can be ordered from
http://http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

DOI: 10.1016/j.spa.2025.104826

Access Statistics for this article

Stochastic Processes and their Applications is currently edited by T. Mikosch

More articles in Stochastic Processes and their Applications from Elsevier
Bibliographic data for series maintained by Catherine Liu ().