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- W3124203251 abstract "Extending It^o's formula to non-smooth functions is important both in theory and applications. One of the fairly general extensions of the formula, known as Meyer-It^o, applies to one dimensional semimartingales and convex functions. There are also satisfactory generalizations of It^o's formula for diffusion processes where the Meyer-It^o assumptions are weakened even further. We study a version of It^o's formula for multi-dimensional finite variation L'evy processes assuming that the underlying function is continuous and admits weak derivatives. We also discuss some applications of this extension, particularly in finance." @default.
- W3124203251 created "2021-02-01" @default.
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- W3124203251 date "2015-07-01" @default.
- W3124203251 modified "2023-09-27" @default.
- W3124203251 title "It^o's formula for finite variation L'evy processes: The case of non-smooth functions" @default.
- W3124203251 hasPublicationYear "2015" @default.
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