Itô's formula for \(C^{1,\lambda}\)-functions of a càdlàg process and related calculus (Q1601803): Difference between revisions
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Latest revision as of 17:42, 21 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Itô's formula for \(C^{1,\lambda}\)-functions of a càdlàg process and related calculus |
scientific article |
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Itô's formula for \(C^{1,\lambda}\)-functions of a càdlàg process and related calculus (English)
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27 June 2002
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The authors consider the stochastic calculus for quadratic variation càdlàg processes. They prove an Itô's formula under weak smoothness assumptions and provide examples for which Itô's formula holds. This result is applied to study stochastic differential equations in the Kurtz-Pardoux-Protter sense which is driven by finite quadratic variation process with jumps.
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quadratic variation process
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Itô's formula
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Kurtz-Pardoux-Protter's equation
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