General change of variable formulas for semimartingales in one and finite dimensions |
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| Authors: | Philip Protter Jaime San Martin |
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| Institution: | (1) Mathematics and Statistics Departments, Purdue University, 47907-1395 W. Lafayette, IN, USA;(2) Facultad de Ciencias Fis.y Mat., Depto. Ingeniería Matematica, Universidad de Chile, Casilla 170/3, Santiago, Chile |
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| Abstract: | Summary A general one dimensional change of variables formula is established for continuous semimartingales which extends the famous Meyer-Tanaka formula. The inspiration comes from an application arising in stochastic finance theory. For functions mapping 
n
to , a general change of variables formula is established for arbitrary semimartingales, where the usualC
2 hypothesis is relaxed.Supported in part by NSF grant No. DMS-9103454Supported in part by John D. and Catherine T. MacArthur Foundation award for US-Chile Scientific CooperationSupported in part by FONDECYT, grant 92-0881 |
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| Keywords: | 60H05 60G44 60G07 60H10 60H20 |
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