General change of variable formulas for semimartingales in one and finite dimensions (Q1326269): Difference between revisions
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Revision as of 13:47, 10 February 2024
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English | General change of variable formulas for semimartingales in one and finite dimensions |
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General change of variable formulas for semimartingales in one and finite dimensions (English)
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24 July 1994
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A general one-dimensional change of variables formula is established for continuous semimartingales which extends the famous Meyer-Tanaka formula. The inspiration comes from an application arising in stochastic finance theory. For functions mapping \(\mathbb{R}^ n\) to \(\mathbb{R}\), a general change of variables formula is established for arbitrary semimartingales, where the usual \(C^ 2\) hypothesis is relaxed.
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Meyer-Tanaka formula
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stochastic finance theory
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semimartingales
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