Itô's formula for C^1,-functions of a càdlàg process and related calculus

DOI10.1007/S004400100168MaRDI QIDQ1601803zbMATH OpenOpenAlexFDO

Authors Mohammed Errami, Francesco Russo, Pierre Vallois

Publication date 27 June 2002

Published in Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete (Search for Journal in Brave)

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

zbMATH Keywords

Itô's formulaKurtz-Pardoux-Protter's equationquadratic variation process

Mathematics Subject Classification ID

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

Review text

The authors consider the stochastic calculus for quadratic variation càdlàg processes. They prove an Itô's formula under weak smoothness assumptions and provide examples for which Itô's formula holds. This result is applied to study stochastic differential equations in the Kurtz-Pardoux-Protter sense which is driven by finite quadratic variation process with jumps.

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Cited in

(24)

• Weak Dirichlet processes with jumps
• Extended Itô calculus for symmetric Markov processes
• Online drift estimation for jump-diffusion processes
• Periodic homogenization of a Lévy-type process with small jumps
• Nondifferentiable functions of one-dimensional semimartingales
• Remarks on Föllmer's pathwise Itô calculus
• Itô's formula for finite variation Lévy processes: the case of non-smooth functions
• Some remarks on local time-space calculus
• On Itô's formula for elliptic diffusion processes
• Local time-space stochastic calculus for Lévy processes
• On bifractional Brownian motion
• On the absolute continuity of Lévy processes with drift
• The evolution of a random vortex filament
• Pathwise solvability of stochastic integral equations with generalized drift and non-smooth dispersion functions
• Applications of the Quadratic Covariation Differentiation Theory: Variants of the Clark-Ocone and Stroock's Formulas
• Synchronization of coupled stochastic systems driven by \(\alpha \)-stable Lévy noises
• The synchronization of coupled stochastic systems driven by symmetric -stable process and Brownian motion
• Local time-space calculus for symmetric Lévy processes
• A change of variable formula with applications to multi-dimensional optimal stopping problems
• On stochastic calculus related to financial assets without semimartingales
• \(C^{0, 1}\)-Itô chain rules and generalized solutions of parabolic PDEs
• Synchronization of systems of Marcus canonical equations driven by \(\alpha \)-stable noises
• Weak Dirichlet processes with a stochastic control perspective
• Itô's formula for the \(L _{p }\)-norm of stochastic \({W^{1}_{p}}\)-valued processes

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