Itô's formula for non-smooth functions

DOI10.2977/prims/1195168209zbMath0795.60075OpenAlexW4256127306MaRDI QIDQ1328887

Robert Aebi

Publication date: 8 September 1994

Published in: Publications of the Research Institute for Mathematical Sciences, Kyoto University (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2977/prims/1195168209

zbMATH Keywords

semimartingalesdiffeomorphismsItô's formulamean-value theorem in stochastic calculus

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Stochastic integrals (60H05)

Related Items

Diffusions with singular drift related to wave functions, A solution to Schrödinger's problem of nonlinear integral equations, Itô's formula for finite variation Lévy processes: the case of non-smooth functions

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item