Causal functional calculus

We construct a new topology on the space of stopped paths and introduce a calculus for causal functionals on generic domains of this space. We propose a generic approach to pathwise integration without any assumption on the variation index of a path and obtain functional change of variable formulas which extend the results of \follmer\ (1981) and Cont \& Fournié (2010) to a larger class of functionals, including \follmer's pathwise integrals. We show that a class of smooth functionals possess a pathwise analogue of the martingale property. For paths that possess finite quadratic variation, our approach extends Föllmer-Ito calculus and removes previous restriction on the time partition sequence. We introduce a foliation structure on this path space and show that harmonic functionals may be represented as pathwise integrals of closed 1-forms.

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