Formules de changement de variables

MaRDI QIDQ793440zbMATH OpenFDO

Authors Nicolas Bouleau

Publication date 1984

Published in Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL http://www.numdam.org/item?id=AIHPB_1984__20_2_133_0, https://eudml.org/doc/77228

zbMATH Keywords

convex functionItô's formulasemi-martingales

Mathematics Subject Classification ID

Convexity of real functions of several variables, generalizations (26B25) Generalizations of martingales (60G48) Stochastic integrals (60H05) Local time and additive functionals (60J55)

Review text

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.

Recommendations

• General change of variable formulas for semimartingales in one and finite dimensions
• r-variations for two-parameter continuous martingales and Itô's formula
• scientific article; zbMATH DE number 4100308
• Itô's formula for non-smooth functions
• scientific article; zbMATH DE number 3965101

Cited in

(12)

• General change of variable formulas for semimartingales in one and finite dimensions
• Residual risks and hedging strategies in Markovian markets
• Weak approximation of killed diffusion using Euler schemes.
• Itô's rule and Lévy's theorem in vector lattices
• Reflected BSDEs in non-convex domains
• Trading strategies generated by Lyapunov functions
• The early exercise premium representation for American options on multiply assets
• Right Markov processes and systems of semilinear equations with measure data
• scientific article; zbMATH DE number 4140946 (Why is no real title available?)
• scientific article; zbMATH DE number 4100308 (Why is no real title available?)
• Quadratic covariation estimates in non-smooth stochastic calculus
• A Change-of-Variable Formula with Local Time on Surfaces

This page was built for publication: Formules de changement de variables

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q793440)