Skip to main content
MathOverflow

Return to Question

Ito -> Itô, while this is on the front page
Source Link
LSpice
LSpice
  • 12.9k
  • 4
  • 45
  • 69

Ito's Itô's Formula for functions that are $C^2$ almost everywhere

In the conventional Ito'sItô's formula, it is required that $F$ is $C^2$ everywhere. However I've seen mentioning of a slightly weaker condition, where $F$ is $C^1$ everywhere but $C^2$ almost everywhere. Is there any reference for this? I couldn't find it in the textbooks by Oksendal or Protter.

Ito's Formula for functions that are $C^2$ almost everywhere

In the conventional Ito's formula, it is required that $F$ is $C^2$ everywhere. However I've seen mentioning of a slightly weaker condition, where $F$ is $C^1$ everywhere but $C^2$ almost everywhere. Is there any reference for this? I couldn't find it in the textbooks by Oksendal or Protter.

Itô's Formula for functions that are $C^2$ almost everywhere

In the conventional Itô's formula, it is required that $F$ is $C^2$ everywhere. However I've seen mentioning of a slightly weaker condition, where $F$ is $C^1$ everywhere but $C^2$ almost everywhere. Is there any reference for this? I couldn't find it in the textbooks by Oksendal or Protter.

Bumped by Community user
unabbreviated "a.e." to avoid weird sentences
Source Link
YCor
YCor
  • 63.9k
  • 5
  • 187
  • 285

Ito's Formula for functions that are $C^2$ a.ealmost everywhere

In the conventional Ito's formula, it is required that $F$ is $C^2$ everywhere. However I've seen mentioning of a slightly weaker condition, where $F$ is $C^1$ everywhere but $C^2$ a.e.almost everywhere. Is there any reference for this? I couldn't find it in the textbooks by Oksendal or Protter.

Ito's Formula for functions that are $C^2$ a.e

In the conventional Ito's formula, it is required that $F$ is $C^2$ everywhere. However I've seen mentioning of a slightly weaker condition, where $F$ is $C^1$ everywhere but $C^2$ a.e.. Is there any reference for this? I couldn't find it in the textbooks by Oksendal or Protter.

Ito's Formula for functions that are $C^2$ almost everywhere

In the conventional Ito's formula, it is required that $F$ is $C^2$ everywhere. However I've seen mentioning of a slightly weaker condition, where $F$ is $C^1$ everywhere but $C^2$ almost everywhere. Is there any reference for this? I couldn't find it in the textbooks by Oksendal or Protter.

Bumped by Community user
Bumped by Community user
Source Link
Jackie Lu
Jackie Lu
  • 389
  • 1
  • 7

Ito's Formula for functions that are $C^2$ a.e

In the conventional Ito's formula, it is required that $F$ is $C^2$ everywhere. However I've seen mentioning of a slightly weaker condition, where $F$ is $C^1$ everywhere but $C^2$ a.e.. Is there any reference for this? I couldn't find it in the textbooks by Oksendal or Protter.