On Itô's formula for semimartingales with jumps and non-C^2 functions

DOI10.1016/J.SPL.2022.109369MaRDI QIDQ2667604zbMATH OpenOpenAlexWikidataFDO

Authors Julia Eisenberg, Paul Krühner

Publication date 4 March 2022

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1016/j.spl.2022.109369

zbMATH Keywords

jump semimartingalesnon-\(\mathcal{C}^2\) functionsItô's formula

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07)

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Cites work

• scientific article; zbMATH DE number 1515832 (Why is no real title available?)
• Classical Fourier analysis
• Controlled diffusion models for optimal dividend pay-out
• Dividend optimisation: a behaviouristic approach
• Lévy Processes and Stochastic Calculus
• Markov-modulated diffusion risk models
• On the regularity of American options with regime-switching uncertainty
• Optimal Consumption for General Diffusions with Absorbing and Reflecting Barriers
• Optimal dividend distribution under Markov regime switching
• The impact of negative interest rates on optimal capital injections

Cited in

(8)

• Remarks on the transformation of Ito's formula for jump-diffusion processes
• The It{\^o}-Tanaka Trick: a non-semimartingale approach
• A useful extension of Itô's formula with applications to optimal stopping
• The functional Itō formula under the family of continuous semimartingale measures
• Itô's formula for \(C^{1,\lambda}\)-functions of a càdlàg process and related calculus
• On singular control of reflected diffusions
• Itô calculus for Cramér-Lundberg model
• Itô's formula for flows of measures on semimartingales

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