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

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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

Topics: QA
Publisher: APPLIED PROBABILITY TRUST
OAI identifier: oai:wrap.warwick.ac.uk:22133
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