Abstract
We prove Föllmer’s pathwise Itô formula for a Banach space-valued càdlàg path. We also relax the assumption on the sequence of partitions along which we treat the quadratic variation of a path.
Funding Statement
This work was partially supported by JSPS KAKENHI Grant Number JP19H00643 (Masanori Hino).
Acknowledgments
The author thanks Professor Jun Sekine, his doctoral supervisor, and Professor Masaaki Fukasawa for their helpful comments and encouragement. The author is also grateful to the anonymous referees for their various useful comments on an earlier version of this paper.
Citation
Yuki Hirai. "Itô–Föllmer calculus in Banach spaces I: the Itô formula." Electron. J. Probab. 28 1 - 41, 2023. https://doi.org/10.1214/23-EJP986
Information
