Nondifferentiable functions of one-dimensional semimartingales

DOI10.1214/09-AOP476zbMath1193.60072arXiv0802.0331MaRDI QIDQ2268695

George Lowther

Publication date: 8 March 2010

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0802.0331

zbMATH Keywords

Dirichlet processcovariationquadratic variationsemimartingaleItô's Lemma

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Martingales with continuous parameter (60G44) Diffusion processes (60J60) Generalized stochastic processes (60G20) Stochastic integrals (60H05) Stochastic integral equations (60H20)

Related Items (3)

Pathwise solvability of stochastic integral equations with generalized drift and non-smooth dispersion functions ⋮ The functional Meyer–Tanaka formula ⋮ Faking Brownian motion with continuous Markov martingales

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Variation conditionelle des processus stochastiques. (Conditional variation of random processes)
• Volatility misspecification, option pricing and superreplication via coupling
• On the convergence of Dirichlet processes
• Some SDEs with distributional drift. I: General calculus
• Itô's formula for \(C^{1,\lambda}\)-functions of a càdlàg process and related calculus
• On non-continuous Dirichlet processes
• Les processus de dirichlet et tant qu'espace de banach
• Generalized Itǒ Formulae and Space-Time Lebesgue–Stieltjes Integrals of Local Times
• The application of the research work of James Clerk Maxwell in electromagnetics to industrial frequency problems
• Stochastic differential equations for Dirichlet processes

This page was built for publication: Nondifferentiable functions of one-dimensional semimartingales