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A REMARK ON THE PROOF OF ITO FORMULA FOR C2 FUNCTIONS OF CONTINUOUS SEMIMARTINGALES
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UNSPECIFIED (1992) A REMARK ON THE PROOF OF ITO FORMULA FOR C2 FUNCTIONS OF CONTINUOUS SEMIMARTINGALES. JOURNAL OF APPLIED PROBABILITY, 29 (1). pp. 216-221.
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Abstract
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.
Item Type: | Journal Item | ||||
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Subjects: | Q Science > QA Mathematics | ||||
Journal or Publication Title: | JOURNAL OF APPLIED PROBABILITY | ||||
Publisher: | APPLIED PROBABILITY TRUST | ||||
ISSN: | 0021-9002 | ||||
Official Date: | March 1992 | ||||
Dates: |
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Volume: | 29 | ||||
Number: | 1 | ||||
Number of Pages: | 6 | ||||
Page Range: | pp. 216-221 | ||||
Publication Status: | Published |
Data sourced from Thomson Reuters' Web of Knowledge
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