On Itô's formula for semimartingales with jumps and non-\(\mathcal{C}^2\) functions

DOI10.1016/J.SPL.2022.109369zbMath1489.60097OpenAlexW4210676237WikidataQ113863763 ScholiaQ113863763MaRDI QIDQ2667604

Paul Krühner, Julia Eisenberg

Publication date: 4 March 2022

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

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

zbMATH Keywords

Itô's formulajump semimartingalesnon-\(\mathcal{C}^2\) functions

Mathematics Subject Classification ID

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

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