Itô's formula for non-smooth functions (Q1328887)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Itô's formula for non-smooth functions |
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Itô's formula for non-smooth functions (English)
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8 September 1994
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Summary: Let us consider an application of forward local \(C^{1,\varepsilon}\)- semimartingale flows of \(C^ 1\)-diffeomorphisms. First a change of variable formula is derived and the existence of all moments of the appearing Jacobian is shown. Then as a consequence, Itô's formula holds for continuous functions whose first and second order derivatives exist only in the sense of distributions.
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mean-value theorem in stochastic calculus
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semimartingales
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diffeomorphisms
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Itô's formula
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