Ito formula for \(C^ 1\)-functions of semimartingales (Q1908537)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Ito formula for \(C^ 1\)-functions of semimartingales |
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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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