Summary
We establish an Ito formula forC 1 functions of processes whose time reversal are semimartingales and forC 1 functions whose first derivatives are Hölder continuous of any parameter and the process comes out from a stochastic flow of homeomorphism.
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Russo, F., Vallois, P. Ito formula forC 1-functions of semimartingales. Probab. Th. Rel. Fields 104, 27–41 (1996). https://doi.org/10.1007/BF01303801
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DOI: https://doi.org/10.1007/BF01303801
Mathematics Subject Classification
- 60H05
- 60H10
- 60J65