General change of variable formulas for semimartingales in one and finite dimensions

Abstract

A general one dimensional change of variables formula is established for continuous semimartingales which extends the famous Meyer-Tanaka formula. The inspiration comes from an application arising in stochastic finance theory. For functions mapping ℝn to ℝ, a general change of variables formula is established for arbitrary semimartingales, where the usual C2 hypothesis is relaxed. © 1993 Springer-Verlag.