A WEAK VERSION OF PATH-DEPENDENT FUNCTIONAL ITÔ CALCULUS

We introduce a variational theory for processes adapted to the multidimensional Brownian motion filtration that provides a differential structure allowing to describe infinitesimal evolution of Wiener functionals at very small scales. The main novel idea is to compute the “sensitivities” of processe...

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Published in:The Annals of probability 2018-11, Vol.46 (6), p.3399-3441
Main Authors: Leão, Dorival, Ohashi, Alberto, Simas, Alexandre B.
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Language:English
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description We introduce a variational theory for processes adapted to the multidimensional Brownian motion filtration that provides a differential structure allowing to describe infinitesimal evolution of Wiener functionals at very small scales. The main novel idea is to compute the “sensitivities” of processes, namely derivatives of martingale components and a weak notion of infinitesimal generator, via a finite-dimensional approximation procedure based on controlled inter-arrival times and approximating martingales. The theory comes with convergence results that allow to interpret a large class ofWiener functionals beyond semimartingales as limiting objects of differential forms which can be computed path wisely over finite-dimensional spaces. The theory reveals that solutions of BSDEs are minimizers of energy functionals w.r.t. Brownian motion driving noise.
doi_str_mv 10.1214/17-AOP1250
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title A WEAK VERSION OF PATH-DEPENDENT FUNCTIONAL ITÔ CALCULUS
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