Itô's formula for \(C^{1,\lambda}\)-functions of a càdlàg process and related calculus

DOI10.1007/s004400100168zbMath0999.60048OpenAlexW2024090399MaRDI QIDQ1601803

Pierre Vallois, Mohammed Errami, Francesco Russo

Publication date: 27 June 2002

Published in: Probability Theory and Related Fields (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s004400100168

zbMATH Keywords

Itô's formulaquadratic variation processKurtz-Pardoux-Protter's equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Martingales with continuous parameter (60G44) Stochastic integrals (60H05)

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