General change of variable formulas for semimartingales in one and finite dimensions

DOI10.1007/BF01195071zbMath0792.60045OpenAlexW2000967424MaRDI QIDQ1326269

Philip E. Protter, Jaime San Martín

Publication date: 24 July 1994

Published in: Probability Theory and Related Fields (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf01195071

zbMATH Keywords

semimartingalesstochastic finance theoryMeyer-Tanaka formula

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Martingales with continuous parameter (60G44) General theory of stochastic processes (60G07) Stochastic integrals (60H05) Stochastic integral equations (60H20)

Related Items (2)

Some limit theorems connected with Brownian local time ⋮ Local time-space stochastic calculus for Lévy processes

Cites Work

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• On semimartingale decompositions of convex functions of semimartingales
• A multidimensional process involving local time
• A representation for the intersection local time of Brownian motion in space
• One-dimensional Stratonovich differential equations
• SOME NEW RESULTS IN THE THEORY OF CONTROLLED DIFFUSION PROCESSES
• Semimartingales and Markov processes
• Local times of functions of continuous semimartingales
• Quadratic Variation of Potentials and Harmonic Functions

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