Geodesic
Towards the validity of Ito’s formula for discontinuous functions
Teoriâ veroâtnostej i ee primeneniâ, Tome 56 (2011) no. 3, pp. 478-493 
G. V. Perel'man. Towards the validity of Ito’s formula for discontinuous functions. Teoriâ veroâtnostej i ee primeneniâ, Tome 56 (2011) no. 3, pp. 478-493. http://geodesic.mathdoc.fr/item/TVP_2011_56_3_a2/
@article{TVP_2011_56_3_a2,
     author = {G. V. Perel'man},
     title = {Towards the validity of {Ito{\textquoteright}s} formula for discontinuous functions},
     journal = {Teori\^a vero\^atnostej i ee primeneni\^a},
     pages = {478--493},
     year = {2011},
     volume = {56},
     number = {3},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/TVP_2011_56_3_a2/}
}
TY  - JOUR
AU  - G. V. Perel'man
TI  - Towards the validity of Ito’s formula for discontinuous functions
JO  - Teoriâ veroâtnostej i ee primeneniâ
PY  - 2011
SP  - 478
EP  - 493
VL  - 56
IS  - 3
UR  - http://geodesic.mathdoc.fr/item/TVP_2011_56_3_a2/
LA  - ru
ID  - TVP_2011_56_3_a2
ER  - 
%0 Journal Article
%A G. V. Perel'man
%T Towards the validity of Ito’s formula for discontinuous functions
%J Teoriâ veroâtnostej i ee primeneniâ
%D 2011
%P 478-493
%V 56
%N 3
%U http://geodesic.mathdoc.fr/item/TVP_2011_56_3_a2/
%G ru
%F TVP_2011_56_3_a2

Voir la notice de l'article provenant de la source Math-Net.Ru

[1] Fujita T., Kawanishi Y., “A Proof of Itô's formula using discrete Itô's formula”, Studia Sci. Math. Hungar., 45:2 (2008), 125–134 | DOI | MR | Zbl

[2] Peskir G., “A change-of-variable formula with local time on curves”, J. Theoret. Probab., 18:3 (2005), 499–535 | DOI | MR | Zbl

[3] Peskir G., Shiryaev A., Optimal Stopping and Free-Boundary Problems, Birkhäuser, Basel, 2006, 500 pp. | MR | Zbl

[4] Follmer H., Protter P., Shiryayev A. N., “Quadratic covariation and an extension of Itô's formula”, Bernoulli, 1:1–2 (1995), 149–169 | DOI | MR

[5] Cherny A. S., “Principal values of the integral functionals of Brownian motion: existence, continuity, and an extension of Itô's formula”, Lecture Notes in Math., 1755, 2001, 348–370 | DOI | MR | Zbl

[6] Ghomrasni R., Peskir G., “Local time-space calculus and extensions of Itô's formula”, High Dimensional Probability III (Sandbjerg 2002), Progr. Probab., 55, Birkhäuser, Basel, 2003, 177–192 | MR | Zbl

[7] Itô K., “Stochastic integral”, Proc. Imp. Acad. Tokyo, 20 (1944), 519–524 | DOI | MR | Zbl

[8] Tanaka H., “Note on continuous additive functionals of the 1-dimensional Brownian path”, Z. Wahrscheinlichkeitstheor. verw. Geb., 1 (1963), 251–257 | DOI | MR | Zbl

[9] Bouleau N., Yor M., “Sur la variation quadratique des temps locaux de certaines semimartingales”, C.R. Acad. Sci. Paris, 292:9 (1981), 491–494 | MR | Zbl

[10] Eisenbaum N., “Integration with respect to local time”, Potential Anal., 13:4 (2000), 303–328 | DOI | MR | Zbl