General change of variable formulas for semimartingales in one and finite dimensions
type: Item
instance of: scholarly article
title: General change of variable formulas for semimartingales in one and finite dimensions
zbMATH Open document ID: 0792.60045
DOI: 10.1007/BF01195071
publication date: 1994-07-24T00:00:00Z
review text: 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.
Mathematics Subject Classification ID: 60H05
Mathematics Subject Classification ID: 60H20
Mathematics Subject Classification ID: 60G44
Mathematics Subject Classification ID: 60G07
Mathematics Subject Classification ID: 60H10
zbMATH DE Number: 569007
zbMATH Keywords: Meyer-Tanaka formula
zbMATH Keywords: stochastic finance theory
zbMATH Keywords: semimartingales
author: Philip Protter
author: Jaime San Martín
reviewed by: Philip Protter
MaRDI profile type: Publication
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full work available at URL: https://doi.org/10.1007/bf01195071
OpenAlex ID: W2000967424
published in: Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete
description: scientific article; zbMATH DE number 569007