Itô--Föllmer Calculus in Banach Spaces I: The Itô Formula

2021/04/16 by Yuki Hirai, Hirai, Yuki · 1 citation
Mathematics · #60H05 (Secondary) #60H99 (Primary) #Advanced Banach Space Theory #FOS: Mathematics #Functional Equations Stability Results #Probability (math.PR) #advanced mathematical theories

paper · pdf · doi:10.48550/arxiv.2104.08138

openalex publication_date 2021/04/16 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

We prove Föllmer's pathwise Itô formula for a Banach space-valued càdlàg path. We also relax the assumption on the sequence of partitions along which we treat the quadratic variation of a path.

Citations

• Itô--Föllmer Calculus in Banach Spaces II: Transformations of Quadratic Variations

Cited by

• The Itô-Föllmer formula -- nonstandard cases

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