Itô’s Formula for Non-Smooth Functions

1996 ◽  
pp. 77-89
Author(s):  
Robert Aebi
Keyword(s):  
Itô’S Formula ◽  
Smooth Functions ◽  
Itô's Formula ◽  
Ito’S Formula ◽  
Ito's Formula

A remark on the proof of Itô's formula for C2 functions of continuous semimartingales

1992 ◽  
Vol 29 (01) ◽  
pp. 216-221
Author(s):  
Wilfrid S. Kendall
Keyword(s):  
Fundamental Theorem ◽  
Short Note ◽  
Stochastic Calculus ◽  
Itô’S Formula ◽  
Itô Formula ◽  
Ito Formula ◽  
Multivariate Case ◽  
Itô's Formula ◽  
Ito’S Formula ◽  
Ito's Formula

The Itô formula is the fundamental theorem of stochastic calculus. This short note presents a new proof of Itô's formula for the case of continuous semimartingales. The new proof is more geometric than previous approaches, and has the particular advantage of generalizing immediately to the multivariate case without extra notational complexity.

Sign in / Sign up

Export Citation Format

Share Document