An elementary proof of the generalized Itô formula
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Martin Ondreját
Abstract
For one-dimensional semimartingales, the Itô formula can be extended from C2-functions to C1-functions with a locally absolutely continuous derivative. We propose a new, different proof of this result, which is simple, straightforward and quite elementary, avoiding in particular the extensive theory of local times for semimartingales.
(Communicated by Gejza Wimmer)
Acknowledgement
We are grateful to the four anonymous referees for their many useful comments and suggestions.
References
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Articles in the same Issue
- Generalized Sasaki mappings in d0-Algebras
- On a theorem of Nathanson on Diophantine approximation
- Constructing infinite families of number fields with given indices from quintinomials
- Partitions into two Lehmer numbers in ℤq
- Fundamental systems of solutions of some linear differential equations of higher order
- On k-Circulant matrices involving the Lucas numbers of even index
- Explicit formulae for the Drazin inverse of the sum of two matrices
- On nonoscillation of fractional order functional differential equations with forcing term and distributed delays
- Novel generalized tempered fractional integral inequalities for convexity property and applications
- Convergence of α-Bernstein-Durrmeyer operators about a collection of measures
- The problem of finding eigenvalues and eigenfunctions of boundary value problems for an equation of mixed type
- Orbital Hausdorff dependence and stability of the solution to differential equations with variable structure and non-instantaneous impulses
- Improvements on the Leighton oscillation theorem for second-order dynamic equations
- Topogenous orders on forms
- Comparison of topologies on fundamental groups with subgroup topology viewpoint
- An elementary proof of the generalized Itô formula
- Asymptotic normality for kernel-based test of conditional mean independence in Hilbert space
- Advancing reliability and medical data analysis through novel statistical distribution exploration
- Historical notes on the 75th volume of Mathematica Slovaca - Authors of the first issue from 1951
