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Latest revision as of 01:14, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Formules de changement de variables |
scientific article |
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Formules de changement de variables (English)
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1984
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The main result of this paper is concerned with Itô's formula for \({\mathbb{R}}^ d\)-valued semi-martingales and convex functions which was established independently by Laurent Schwartz and the author [cf. the author, C. R. Acad. Sci., Paris, Sér. I 292, 87-90 (1981; Zbl 0458.60072)]. It is shown here that with any Borelian section of the sub- derivative of a convex function, such a formula is valid for all semi- martingales. Other extensions of change of variables formulae are given.
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Itô's formula
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convex function
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semi-martingales
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