On Ito's formula of Föllmer and Protter

Nathalie Eisenbaum

Séminaire de probabilités de Strasbourg (2001)

  • Volume: 35, page 390-395

How to cite


Eisenbaum, Nathalie. "On Ito's formula of Föllmer and Protter." Séminaire de probabilités de Strasbourg 35 (2001): 390-395. <http://eudml.org/doc/114074>.

author = {Eisenbaum, Nathalie},
journal = {Séminaire de probabilités de Strasbourg},
keywords = {Itô’s formulae; local time},
language = {eng},
pages = {390-395},
publisher = {Springer - Lecture Notes in Mathematics},
title = {On Ito's formula of Föllmer and Protter},
url = {http://eudml.org/doc/114074},
volume = {35},
year = {2001},

AU - Eisenbaum, Nathalie
TI - On Ito's formula of Föllmer and Protter
JO - Séminaire de probabilités de Strasbourg
PY - 2001
PB - Springer - Lecture Notes in Mathematics
VL - 35
SP - 390
EP - 395
LA - eng
KW - Itô’s formulae; local time
UR - http://eudml.org/doc/114074
ER -


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  4. [E] Eisenbaum N. : Integration with respect to local times. To appear in Potential Analysis. Zbl0964.60062MR1804175
  5. [FP] Föllmer H. and Protter P. : On Itô's formula for multidimensional Brownian motion.Probab. Theory Relat. Fields116, 1-20 (2000). Zbl0955.60077MR1736587
  6. [FPS] Föllmer H., Protter P. and Shiryaev A.N. : Quadratic covariation and an extension of Itô's formula. Bernoulli, 1 (1/2),149-169(1995). Zbl0851.60048MR1354459
  7. [MN] Moret S. and Nualart D. : Quadratic covariation and Itô's formula for smooth nondegenerate martingales.Journal of Theo. Probab. V.13,1,193-224 (2000) Zbl0949.60065MR1744986
  8. [RV] Russo F. and Vallois P. : Itô formula for C- functions of semi-martingales.Prob. Theory Relat.Fields104,27-42 (1996). Zbl0838.60045MR1367665

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