Abstract
The class of semimartingales proved to be convenient for the development of stochastic calculus because it is stable under natural operations:
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(i)
if X and Y are semimartingales then the Itô integral process ∫ t0 Y dX is a semimartingale;
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(ii)
if X is a semimartingale and if f is a twice continuously differentiable function then f ○ X is a semimartingale according to the Itô formula.
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© 1990 Springer Fachmedien Wiesbaden
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von Weizsäcker, H., Winkler, G. (1990). Change of Measures. In: Stochastic Integrals. Advanced Lectures in Mathematics. Vieweg+Teubner Verlag, Wiesbaden. https://doi.org/10.1007/978-3-663-13923-2_10
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DOI: https://doi.org/10.1007/978-3-663-13923-2_10
Publisher Name: Vieweg+Teubner Verlag, Wiesbaden
Print ISBN: 978-3-528-06310-8
Online ISBN: 978-3-663-13923-2
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