General change of variable formulas for semimartingales in one and finite dimensions
A general one-dimensional change of variables formula is established for continuous semimartingales which extends the famous Meyer-Tanaka formula. The inspiration comes from an application arising in stochastic finance theory. For functions mapping \(\mathbb{R}^ n\) to \(\mathbb{R}\), a general change of variables formula is established for arbitrary semimartingales, where the usual \(C^ 2\) hypothesis is relaxed.
scientific article; zbMATH DE number 569007
scientific article