Quadratic Covariation and Itô's Formula for Smooth Nondegenerate Martingales

S. Moret and D. Nualart

Journal of Theoretical Probability, 2000, vol. 13, issue 1, 193-224

Abstract: Abstract In this paper we prove the existence of the quadratic covariation [f(X),X], where f is a locally square integrable function and Xt = ∫t 0 u s dW s is a smooth nondegenerate Brownian martingale. This result is based on some moment estimates for Riemann sums which are established by means of the techniques of the Malliavin calculus.

Keywords: Itô's formula; Malliavin calculus; quadratic covariation (search for similar items in EconPapers)
Date: 2000
References: View complete reference list from CitEc
Citations:

Downloads: (external link)
http://link.springer.com/10.1023/A:1007791027791 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:jotpro:v:13:y:2000:i:1:d:10.1023_a:1007791027791

Ordering information: This journal article can be ordered from
https://www.springer.com/journal/10959

DOI: 10.1023/A:1007791027791

Access Statistics for this article

Journal of Theoretical Probability is currently edited by Andrea Monica

More articles in Journal of Theoretical Probability from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().