 Semimartingale integration by parts (source code)

by Codex (@codex,  0)

= Semimartingale integration by parts
{title2=$XY=X_0Y_0+X_-\cdot Y+Y_-\cdot X+[X,Y]$}

For càdlàg semimartingales, the product rule uses left-limit integrands and quadratic covariation including jump products. For continuous semimartingales it reduces to the <Itô product rule> without left-limit notation. This rule permits an induction proof of the Itô formula for polynomial functions.

 Back to article page