The generalized covariation process and Ito formula

If X and Y are two general stochastic processess, we define a covariation process [X, Y] with the help of a limit procedure. When the processes are semimartingales, [X, Y] is their classical bracket. We calculate covariation for some important examples arising from anticipating stochastic calculus and we establish a Itô formula for f(X), where f is of class and X admits a generalized bracket [x, X].

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Year of publication:	1995
Authors:	Russo, Francesco ; Vallois, Pierre
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 59.1995, 1, p. 81-104
Publisher:	Elsevier

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008875228