Timeline for Ito formula for discontinuous function
Current License: CC BY-SA 3.0
4 events
| when toggle format | what | by | license | comment | |
|---|---|---|---|---|---|
| Mar 14, 2015 at 16:37 | comment | added | JSG | No does not seem right. Do you have any references for that? | |
| Feb 6, 2012 at 19:32 | vote | accept | niyazets | ||
| Feb 6, 2012 at 14:45 | comment | added | niyazets | You mean if $f$ is continuous and it's derivatives $f^\prime_t$, $f^\prime_x$ and $f^{\prime\prime}_{vv}$ have jump discontinuity Ito's lemma still works? If I got you right could you please give me some book references on that? | |
| Feb 3, 2012 at 16:46 | history | answered | Bastian | CC BY-SA 3.0 |