Itô's formula for \(C^{1,\lambda}\)-functions of a càdlàg process and related calculus
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.
scientific article; zbMATH DE number 1761128