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

Published 18 May 2021 in math.PR | (2105.08262v2)

Abstract: 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.

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Authors (1)

Yuki Hirai

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