×

On the formula of change of variables for optional semi-martingales. (Russian) Zbl 0598.60045

A change of variable formula for an optional semimartingale X is given such that a semimartingale F(X), \(F\in C^ 2\), is represented by a sum of stochastic integrals with respect to the same random measures which are present in the canonical decomposition of X. The above-mentioned measures are generated separately by jumps in totally inaccessible and predictable stopping times.
Reviewer: L.Gal’chuk

MSC:

60G44 Martingales with continuous parameter
60H05 Stochastic integrals
60G57 Random measures