A remark on the Itô formula

DOI10.1137/s0040585x97t99188xMaRDI QIDQ6589445

M. M. Faddeev, Nataliya V. Smorodina, I. A. Ibragimov

Publication date: 19 August 2024

Published in: Theory of Probability and its Applications (Search for Journal in Brave)

zbMATH Keywords

distributionlocal timeItô formula

Mathematics Subject Classification ID

Stochastic integrals (60H05)

Cites Work

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• Sturm-Liouville operators with singular potentials
• Quadratic covariation and an extension of Itô's formula
• Approximation of a Wiener Process Local Time by Functionals of Random Walks
• Towards the Validity of Itô's Formula for Discontinuous Functions
• On some properties of the fractional derivative of the Brownian local time

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