On Ito's formula of Follmer and Protter

被引：0
|
作者：
Eisenbaum, N
机构：
[1] Univ Paris 06, Lab Probabil & Modeles Aleatoires, F-75252 Paris 05, France
[2] Univ Paris 07, F-75252 Paris, France
来源：
SEMINAIRE DE PROBABILITES XXXV | 2001年 / 1755卷
关键词：
D O I：
暂无
中图分类号：
O1 [数学];
学科分类号：
0701 ; 070101 ;
摘要：
Follmer and Protter have established an Ito formula for the d-dimensional Brownian motion and a function F in the Sobolev space W(1,2). In this formula, the usual second order terms are replaced by quadratic covariations. We show here that these covariations are actually area integrals with respect to local times. We also extend their formula to the time-dependent case.
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页码：390 / 395
页数：6
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