Free Access
Issue
ESAIM: PS
Volume 17, 2013
Page(s) 293 - 306
DOI https://doi.org/10.1051/ps/2011146
Published online 17 May 2013
  1. M.T. Barlow and P. Protter, On convergence of semimartingales. In Séminaire de Probabilités, XXIV, 1988/89, Lect. Notes Math., vol. 1426. Springer, Berlin (1990) 188–193. [Google Scholar]
  2. N. Bouleau, Semi-martingales à valeurs Rd et fonctions convexes. C. R. Acad. Sci. Paris Sér. I Math. 292 (1981) 87–90. [Google Scholar]
  3. N. Bouleau, Formules de changement de variables. Ann. Inst. Henri Poincaré Probab. Statist. 20 (1984) 133–145. [Google Scholar]
  4. E. Carlen and P. Protter, On semimartingale decompositions of convex functions of semimartingales. Illinois J. Math. 36 (1992) 420–427. [MathSciNet] [Google Scholar]
  5. M. Cranston, W.S. Kendall and P. March, The radial part of Brownian motion. II. Its life and times on the cut locus. Probab. Theory Relat. Fields 96 (1993) 353–368. [CrossRef] [Google Scholar]
  6. H. Föllmer and P. Protter, On Itô’s formula for multidimensional Brownian motion. Probab. Theory Relat. Fields 116 (2000) 1–20. [CrossRef] [Google Scholar]
  7. H. Föllmer, P. Protter and A.N. Shiryayev, Quadratic covariation and an extension of Itô’s formula. Bernoulli 1 (1995) 149–169. [CrossRef] [MathSciNet] [Google Scholar]
  8. M. Fuhrman and G. Tessitore, Generalized directional gradients, backward stochastic differential equations and mild solutions of semilinear parabolic equations. Appl. Math. Optim. 51 (2005) 279–332. [CrossRef] [MathSciNet] [Google Scholar]
  9. J.R. Giles, Convex analysis with application in the differentiation of convex functions, Research Notes Math., vol. 58. Pitman (Advanced Publishing Program), Boston, Mass (1982). [Google Scholar]
  10. W.S. Kendall, The radial part of Brownian motion on a manifold: a semimartingale property. Ann. Probab. 15 (1987) 1491–1500. [CrossRef] [Google Scholar]
  11. P.-A. Meyer, Un cours sur les intégrales stochastiques. In Séminaire de Probabilités, X (Seconde partie: Théorie des intégrales stochastiques, Univ. Strasbourg, Strasbourg, année universitaire 1974/1975), Lecture Notes Math., vol. 511. Springer, Berlin (1976) 245–400. [Google Scholar]
  12. D. Revuz and M. Yor, Continuous martingales and Brownian motion, Grundlehren der Mathematischen Wissenschaften [Fundamental Principles of Mathematical Sciences], vol. 293, 3th edition. Springer-Verlag, Berlin (1999). [Google Scholar]
  13. R.T. Rockafellar, Convex analysis. Princeton Mathematical Series, No. 28. Princeton University Press, Princeton, N.J. (1970). [Google Scholar]
  14. F. Russo and P. Vallois, The generalized covariation process and Itô formula. Stochastic Process. Appl. 59 (1995) 81–104. [Google Scholar]
  15. F. Russo and P. Vallois, Itô formula for C1-functions of semimartingales. Probab. Theory Relat. Fields 104 (1996) 27–41. [CrossRef] [Google Scholar]

Current usage metrics show cumulative count of Article Views (full-text article views including HTML views, PDF and ePub downloads, according to the available data) and Abstracts Views on Vision4Press platform.

Data correspond to usage on the plateform after 2015. The current usage metrics is available 48-96 hours after online publication and is updated daily on week days.

Initial download of the metrics may take a while.