Ito formula for \(C^ 1\)-functions of semimartingales (Q1908537)
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scientific article; zbMATH DE number 849087
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| English | Ito formula for \(C^ 1\)-functions of semimartingales |
scientific article; zbMATH DE number 849087 |
Statements
Ito formula for \(C^ 1\)-functions of semimartingales (English)
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27 May 1996
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We establish an Itô formula for \(C^1\) functions of processes whose time reversals are semimartingales and for \(C^1\) functions whose first derivatives are Hölder continuous of any parameter and the process comes out from a stochastic flow of homeomorphism.
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Itô formula
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stochastic flow of homeomorphism
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0.8640012741088867
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0.8184521794319153
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