Itô's formula for finite variation Lévy processes: the case of non-smooth functions

DOI10.1016/j.jmaa.2015.05.025zbMath1321.60117arXiv1507.00294OpenAlexW1549993124MaRDI QIDQ2352884

Ramin Okhrati, Uwe Schmock

Publication date: 6 July 2015

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1507.00294

zbMATH Keywords

mathematical financeweak derivativesItō's formulafinite variation Lévy processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Financial applications of other theories (91G80) Stochastic integrals (60H05)

Cites Work

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• Functional analysis, Sobolev spaces and partial differential equations
• An extension of Itô's formula for elliptic diffusion processes
• Itô's formula for non-smooth functions
• On solutions of backward stochastic differential equations with jumps and applications
• Quadratic covariation and an extension of Itô's formula
• On Itô's formula for multidimensional Brownian motion
• Introductory lectures on fluctuations of Lévy processes with applications.
• Perpetual American Options Under Lévy Processes
• Financial Modelling with Jump Processes

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