DOI

In the classical Itô formula, we propose replacing the second derivative (understood in the usual sense) by the second derivative in the sense of differentiation of distributions. In particular, we show that this can be done if the first derivative lies in the class L2,loc (R). Earlier, Föllmer, Protter, and Shiryayev [Bernoulli, 1 (1995), pp. 149–169] obtained a different form of the last term in the Itô formula under the same conditions.
Язык оригиналаанглийский
Страницы (с-по)227-242
Число страниц16
ЖурналTheory of Probability and its Applications
Том69
Номер выпуска2
DOI
СостояниеОпубликовано - 1 авг 2024

ID: 127711341