Functional It\^{o} calculus and stochastic integral representation of martingales

We develop a nonanticipative calculus for functionals of a continuous semimartingale, using an extension of the Ito formula to path-dependent functionals which possess certain directional derivatives. The construction is based on a pathwise derivative, introduced by Dupire, for functionals on the space of right-continuous functions with left limits. We show that this functional derivative admits a suitable extension to the space of square-integrable martingales. This extension defines a weak derivative which is shown to be the inverse of the Ito integral and which may be viewed as a nonanticipative "lifting" of the Malliavin derivative. These results lead to a constructive martingale representation formula for Ito processes. By contrast with the Clark-Haussmann-Ocone formula, this representation only involves nonanticipative quantities which may be computed pathwise.Comment: Published in at http://dx.doi.org/10.1214/11-AOP721 the Annals of Probability (http://www.imstat.org/aop/) by the Institute of Mathematical Statistics (http://www.imstat.org

The vanishing of L2 harmonic one-forms on based path spaces

We prove the triviality of the first L2 cohomology class of based path spaces of Riemannian manifolds furnished with Brownian motion measure, and the consequent vanishing of L2 harmonic one-forms. We give explicit formulae for closed and co-closed one-forms expressed as differentials of functions and co-differentials of L2 two-forms, respectively; these are considered as extended Clark-Ocone formulae. A feature of the proof is the use of the temporal structure of path spaces to relate a rough exterior derivative operator on one-forms to the exterior differentiation operator used to construct the de Rham complex and the self-adjoint Laplacian on L2 one-forms. This Laplacian is shown to have a spectral gap

Stochastic analysis for obtuse random walks

We present a construction of the basic operators of stochastic analysis (gradient and divergence) for a class of discrete-time normal martingales called obtuse random walks. The approach is based on the chaos representation property and discrete multiple stochastic integrals. We show that these operators satisfy similar identities as in the case of the Bernoulli randoms walks. We prove a Clark-Ocone-type predictable representation formula, obtain two covariance identities and derive a deviation inequality. We close the exposition by an application to option hedging in discrete time.Comment: 26 page

Poisson stochastic integration in Banach spaces

We prove new upper and lower bounds for Banach space-valued stochastic integrals with respect to a compensated Poisson random measure. Our estimates apply to Banach spaces with non-trivial martingale (co)type and extend various results in the literature. We also develop a Malliavin framework to interpret Poisson stochastic integrals as vector-valued Skorohod integrals, and prove a Clark-Ocone representation formula.Comment: 26 page