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Ito formula forC 1-functions of semimartingales |
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| Authors: | F Russo P Vallois |
| Institution: | (1) Institut Galilée, Département de Mathématiques, Université Paris-Nord, Avenue Jean-Baptiste Clément, F-93430 Villetaneuse, France;(2) BIBOS, Universität Bielefeld, D-33615 Bielefeld, Germany;(3) Département de Mathématiques, Université de Nancy 1, B.P. 239, F-54506 Vand uvre les Nancy Cedex, France |
| Abstract: | 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. |
| Keywords: | 60H05 60H10 60J65 |
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