ISSN:
1432-2064
Keywords:
60H05
;
60G44
;
60G07
;
60H10
;
60H20
Source:
Springer Online Journal Archives 1860-2000
Topics:
Mathematics
Notes:
Summary 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 ℝ n to ℝ, a general change of variables formula is established for arbitrary semimartingales, where the usualC 2 hypothesis is relaxed.
Type of Medium:
Electronic Resource
URL:
http://dx.doi.org/10.1007/BF01195071
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