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arXiv:2105.08262 [math.PR]AbstractReferencesReviewsResources

Itô--Föllmer Calculus in Banach Spaces II: Transformations of Quadratic Variations

Yuki Hirai

Published 2021-05-18, updated 2022-11-21Version 2

In this paper, we study properties of quadratic variations of c\`{a}dl\`{a}g paths within the framework of the It\^{o}--F\"{o}llmer calculus in Banach spaces. We prove a $C^1$-type transformation formula for quadratic variations. We also investigate relations between tensor and scalar quadratic variations.

Comments: 34 pages. Revised version
Categories: math.PR
Subjects: 60H05, 60H99, 26A99, 28B99
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