A REMARK ON THE PROOF OF ITO FORMULA FOR C2 FUNCTIONS OF CONTINUOUS SEMIMARTINGALES

被引：1
|
作者：
KENDALL, WS
机构：
来源：
JOURNAL OF APPLIED PROBABILITY | 1992年 / 29卷 / 01期
关键词：
STOCHASTIC CALCULUS; INTEGRATION BY PARTS;
D O I：
10.2307/3214807
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
The Ito formula is the fundamental theorem of stochastic calculus. This short note presents a new proof of Ito's formula for the case of continuous semimartingales. The new proof is more geometric than previous approaches, and has the particular advantage of generalizing immediately to the multivariate case without extra notational complexity.
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页码：216 / 221
页数：6
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