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Towards the Validity of Itô's Formula for Discontinuous Functions - MaRDI portal

Towards the Validity of Itô's Formula for Discontinuous Functions

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Publication:4925384

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DOI10.1137/S0040585X97985509zbMath1277.60133MaRDI QIDQ4925384

Gleb V. Perelman

Publication date: 12 June 2013

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

zbMATH Keywords

Wiener process Brownian motion Itō's formula Tanaka's formula Itō's lemma discrete Itō formula

Mathematics Subject Classification ID

Brownian motion (60J65)

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