Föllmer, Hans; Protter, Philip E. - Sonderforschungsbereich 373, Quantifikation und … - 2001
Consider a d-dimensional Brownian motion X (Xl, ... ,Xd ) and a function F which belongs locally to the Sobolev space W 1,2. We prove an extension of Ito's formula where the usual second order terms are replaced by the quadratic covariations [fk(X), Xkj involving the weak first partial...
