Itô's Formula for Non-Smooth Functions
Robert Aebi
Universität Bern, Switzerland
![Itô's Formula for Non-Smooth Functions cover](/_next/image?url=https%3A%2F%2Fcontent.ems.press%2Fassets%2Fpublic%2Fimages%2Fserial-issues%2Fcover-prims-volume-28-issue-4.png&w=3840&q=90)
Abstract
Let us consider an application of forward local _C_1,ε-semimartingale flows of _C_1-diffeomorphisms. First a change of variable formula is derived and the existence of all moments of the appearing Jacobian is shown. Then as a consequence, Itô's formula holds for continuous functions which first and second order derivatives exist only in the sense of distributions.
Cite this article
Robert Aebi, Itô's Formula for Non-Smooth Functions. Publ. Res. Inst. Math. Sci. 28 (1992), no. 4, pp. 595–602
DOI 10.2977/PRIMS/1195168209