Nondifferentiable functions of one-dimensional semimartingales
نویسندگان
چکیده
منابع مشابه
Nondifferentiable Functions of One Dimensional Semimartingales
In this paper we consider decompositions of processes of the form Y = f(t,Xt) where X is a one dimensional semimartingale, but f is not required to be differentiable so Ito’s formula does not apply. First, in the case where f(t, x) is independent of t, we show that requiring it to be locally Lipschitz continuous in x is enough for an Ito style decomposition to apply. This decomposes Y into a st...
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ژورنال
عنوان ژورنال: The Annals of Probability
سال: 2010
ISSN: 0091-1798
DOI: 10.1214/09-aop476