Generalization of Itô's formula for smooth nondegenerate martingales.

DOI10.1016/S0304-4149(00)00058-2zbMath1047.60050MaRDI QIDQ1879509

Sílvia Moret, David Nualart

Publication date: 22 September 2004

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

zbMATH Keywords

Malliavin calculusItô's formulaquadratic covariation

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07)

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Cites Work

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• Ito formula for \(C^ 1\)-functions of semimartingales
• On Itô's formula for multidimensional Brownian motion
• Transformations of semi-martingales and local dirichlet processes
• Quadratic covariation and Itô's formula for smooth nondegenerate martingales

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