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A remark on the proof of Itô's formula for C2 functions of continuous semimartingales
Published online by Cambridge University Press: 14 July 2016
Abstract
The Itô formula is the fundamental theorem of stochastic calculus. This short note presents a new proof of Itô's formula for the case of continuous semimartingales. The new proof is more geometric than previous approaches, and has the particular advantage of generalizing immediately to the multivariate case without extra notational complexity.
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- Copyright © Applied Probability Trust 1992
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