On Itô’s formula for semimartingales with jumps and non-C2 functions

Julia Eisenberg and Paul Krühner

Statistics & Probability Letters, 2022, vol. 184, issue C

Abstract: This paper considers a variant of Itô’s formula for discontinuous semimartingales and non-C2 functions. This result is particularly helpful for insurance control problems with Markov-modulated components. An example of a dividend barrier strategy for a Brownian risk model with Markov-switching illustrates the result.

Keywords: Jump semimartingales; Itô’s formula; Non-C2 functions (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (2)

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DOI: 10.1016/j.spl.2022.109369

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