Ito formula for C1-functions of semimartingales

F. Russo; P. Vallois

doi:10.1007/BF01303801

Ito formula for C¹-functions of semimartingales

F. Russo
, P. Vallois

Research output: Contribution to journal › Article › peer-review

Abstract

We establish an Ito formula for C¹ functions of processes whose time reversal are semimartingales and for C¹ functions whose first derivatives are Hölder continuous of any parameter and the process comes out from a stochastic flow of homeomorphism.

Original language	English
Pages (from-to)	27-41
Number of pages	15
Journal	Probability Theory and Related Fields
Volume	104
Issue number	1
DOIs	https://doi.org/10.1007/BF01303801
Publication status	Published - 1 Jan 1996
Externally published	Yes

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title = "Ito formula for C1-functions of semimartingales",

abstract = "We establish an Ito formula for C1 functions of processes whose time reversal are semimartingales and for C1 functions whose first derivatives are H{\"o}lder continuous of any parameter and the process comes out from a stochastic flow of homeomorphism.",

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AU - Vallois, P.

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AB - We establish an Ito formula for C1 functions of processes whose time reversal are semimartingales and for C1 functions whose first derivatives are Hölder continuous of any parameter and the process comes out from a stochastic flow of homeomorphism.

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JO - Probability Theory and Related Fields

JF - Probability Theory and Related Fields

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ER -

Ito formula for C¹-functions of semimartingales

Abstract

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