A functional extension of the Ito's formula of C0,1-functions of continuous weak Dirichlet processes

A $C^{0,1}$-functional Itô's formula and its applications in mathematical finance

In this note, we provide a functional(path-dependent) extension of the it\^o s formula of gozzi and russo (2006) that applies to continuous weak dirichlet processes.It is motivated and illustrated by its applications to the hedging or superhedgingproblems of path-dependent options in mathematical finance, in particular in the case of model uncertainty.