Itô formula for semimartingales with jumps

ID: ito-formula-for-semimartingales-with-jumps

For a semimartingale with càdlàg paths and , the Itô formula uses the left-limit gradient in , the continuous quadratic variation in its second-order integral, and the jump correction . In several dimensions use the corresponding gradient, Hessian and continuous bracket matrix. The correction is the part of each jump not captured by first-order linearization.

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