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Ito formula forC 1-functions of semimartingales
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  • Published: March 1996

Ito formula forC 1-functions of semimartingales

  • F. Russo1,2 &
  • P. Vallois3 

Probability Theory and Related Fields volume 104, pages 27–41 (1996)Cite this article

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  • 61 Citations

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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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Author information

Authors and Affiliations

  1. Institut Galilée, Département de Mathématiques, Université Paris-Nord, Avenue Jean-Baptiste Clément, F-93430, Villetaneuse, France

    F. Russo

  2. BIBOS, Universität Bielefeld, D-33615, Bielefeld, Germany

    F. Russo

  3. Département de Mathématiques, Université de Nancy 1, B.P. 239, F-54506, Vandœuvre les Nancy Cedex, France

    P. Vallois

Authors
  1. F. Russo
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  2. P. Vallois
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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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  • Received: 02 May 1994

  • Revised: 18 April 1995

  • Issue Date: March 1996

  • DOI: https://doi.org/10.1007/BF01303801

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Mathematics Subject Classification

  • 60H05
  • 60H10
  • 60J65
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