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Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory.

5 votes
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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. …