Itô's formula for \(C^{1,\lambda}\)-functions of a càdlàg process and related calculus
type: Item
instance of: scholarly article
title: Itô's formula for \(C^{1,\lambda}\)-functions of a càdlàg process and related calculus
zbMATH Open document ID: 0999.60048
author: Mohammed Errami
author: Francesco Russo
author: Pierre Vallois
publication date: 2002-06-27T00:00:00Z
review text: The authors consider the stochastic calculus for quadratic variation càdlàg processes. They prove an Itô's formula under weak smoothness assumptions and provide examples for which Itô's formula holds. This result is applied to study stochastic differential equations in the Kurtz-Pardoux-Protter sense which is driven by finite quadratic variation process with jumps.
reviewed by: Maria Stolarczyk
Mathematics Subject Classification ID: 60H05
Mathematics Subject Classification ID: 60G44
Mathematics Subject Classification ID: 60H10
zbMATH DE Number: 1761128
zbMATH Keywords: quadratic variation process
zbMATH Keywords: Itô's formula
zbMATH Keywords: Kurtz-Pardoux-Protter's equation
MaRDI profile type: Publication
full work available at URL: s004400100168
OpenAlex ID: W2024090399
DOI: 10.1007/S004400100168
published in: Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete
description: scientific article; zbMATH DE number 1761128