Levental, Shlomo; Schroder, Mark; Sinha, Sumit - In: Statistics & Probability Letters 83 (2013) 9, pp. 2019-2026
The Itô formula was extended recently by Dupire (2009) to functionals of paths of continuous semimartingales, and by Cont and Fournié (2010a) to functionals of paths of RCLL semimartingales. In contrast to the traditional formula that applies to functions of the current value of a process,...
