Quadratic covariation and an extension of Itô's formula

DOI10.2307/3318684zbMATH Open0851.60048OpenAlexW1528471277MaRDI QIDQ1903608FDOQ1903608

Philip Protter, Hans Föllmer, Albert N. Shiryaev

Publication date: 12 December 1995

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.bj/1186078365

Recommendations

• scientific article; zbMATH DE number 1861596
• Towards the validity of Itō's formula for discontinuous functions
• Quadratic covariation and Itô's formula for smooth nondegenerate martingales
• scientific article; zbMATH DE number 1619472
• Quadratic covariation and Itô's formula for smooth nondegenerate martingales

zbMATH Keywords

Brownian motionlocal timeDirichlet processesStratonovich integralquadratic covarianceItô's formula

Mathematics Subject Classification ID

Brownian motion (60J65) Stochastic integrals (60H05)

Cited In (55)

• On some properties of the fractional derivative of the Brownian local time
• A remark on the Itô formula
• Stochastic integration with respect to local time of the Brownian sheet and regularising properties of Brownian sheet paths
• A central bank strategy for defending a currency peg
• Online drift estimation for jump-diffusion processes
• Approximation of Optimal Stopping Problems and Variational Inequalities Involving Multiple Scales in Economics and Finance
• A Bayesian sequential test for the drift of a fractional Brownian motion
• The quadratic variation for mixed-fractional Brownian motion
• Finite expiry Russian options
• Quadratic covariation and Itô's formula for smooth nondegenerate martingales
• Itô's formula for finite variation Lévy processes: the case of non-smooth functions
• Some remarks on local time-space calculus
• On Chernoff's test for a fractional Brownian motion
• Title not available (Why is that?)
• Some Remarks on Davie’s Uniqueness Theorem
• Integration with Respect to Self-Intersection Local Time of a One-Dimensional Brownian Motion
• The generalized quadratic covariation for a bi-fBm
• On arbitrage and Markovian short rates in fractional bond markets
• Integration with respect to local time and Itô's formula for smooth nondegenerate martingales
• Nonlinear stochastic partial differential equations with singular diffusivity and gradient Stratonovich noise
• A change of variable formula with applications to multi-dimensional optimal stopping problems
• Stochastic bifurcation models
• Integration with respect to fractional local time with Hurst index \(1/2 < \text H < 1\)
• Optimal stopping under ambiguity in continuous time
• Temporal variation for fractional heat equations with additive white noise
• Generalized covariations, local time and Stratonovich Itô's formula for fractional Brownian motion with Hurst index \(H\geq\frac 1 4\).
• Nonsemimartingales: stochastic differential equations and weak Dirichlet processes
• Generalized Ito's formula and additive functionals of Brownian motion
• Quadratic covariation estimates in non-smooth stochastic calculus
• A change-of-variable formula with local time on curves
• On Itô's formula for elliptic diffusion processes
• The functional Meyer–Tanaka formula
• An extension of Itô's formula for elliptic diffusion processes
• The generalized covariation process and Itô formula
• The generalized Bouleau-Yor identity for a sub-fractional Brownian motion
• Semimartingale integral representation
• Title not available (Why is that?)
• Integration with respect to the \(G\)-Brownian local time
• The quadratic covariation for a weighted fractional Brownian motion
• On time-dependent functionals of diffusions corresponding to divergence form operators
• A Dirichlet process characterization of a class of reflected diffusions
• Stratonovich stochastic differential equation with irregular coefficients: Girsanov's example revisited
• Generalization of Itô's formula for smooth nondegenerate martingales.
• The generalized quadratic covariation for fractional Brownian motion with Hurst index less than 1/2
• Distributional It\^o's Formula and Regularization of Generalized Wiener Functionals
• Hedging options in market models modulated by the fractional Brownian motion
• Generalized integration and stochastic ODEs
• Stochastic integration with respect to additive functionals of zero quadratic variation
• Quadratic covariations for the solution to a stochastic heat equation with space-time white noise
• On local times of Ornstein-Uhlenbeck processes
• A central limit theorem for the realised covariation of a bivariate Brownian semistationary process
• Backward problems for stochastic differential equations on the Sierpinski gasket
• Local time-space stochastic calculus for Lévy processes
• Title not available (Why is that?)
• Derivative for the intersection local time of two independent fractional Brownian motions

This page was built for publication: Quadratic covariation and an extension of Itô's formula

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1903608)