应用数学2002，Vol.15Issue(3)：81-84,4.
平方协变差和连续半鞅的推广It（o）公式[英文]
Quadratic Covariation and Extended It&s Formula for Continuous Semimartingales
胡吉卉 1黄志远1
作者信息
- 1. 华中科技大学数学系,湖北,武汉,430074
- 折叠
摘要
Abstract
Let X be a continuous semimartingale, f be a locally integrable function on R. In this paper we show that the quadratic convariation [f(X),X]t exists and is equal to ∫ f(a)daLia, where Lia is the local time of X, whenever ∫tf(Xs)dXs exists. It fol R 0lows that for an absolutely continuous function F with derivative f, the extended It6F(Xt) = F(X0) + ∫t0 f(Xs)dXs + 1/2[f(X)sformulatakestheform,X]to关键词
Ito公式/平方协变差/局部时Key words
Ito＇s formula/quadratic covariation/Local time分类
数理科学引用本文复制引用
胡吉卉,黄志远..平方协变差和连续半鞅的推广It（o）公式[英文][J].应用数学,2002,15(3):81-84,4.
