Quadratic covariation and Itô's formula for smooth nondegenerate martingales

DOI10.1023/A:1007791027791zbMath1425.60044OpenAlexW190613723MaRDI QIDQ5919593

David Nualart, Sílvia Moret

Publication date: 22 August 2019

Published in: Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1007791027791

zbMATH Keywords

Malliavin calculusItô's formulaquadratic covariation

Mathematics Subject Classification ID

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

Related Items (2)

Derivative for the intersection local time of two independent fractional Brownian motions ⋮ Quadratic covariations for the solution to a stochastic heat equation with space-time white noise

Cites Work

• An extension of Itô's formula for elliptic diffusion processes
• Integration with respect to local time
• Quadratic covariation and an extension of Itô's formula
• Ito formula for \(C^ 1\)-functions of semimartingales
• Transformations of semi-martingales and local dirichlet processes
• Stochastic integral
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