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arXiv · 2105.08262

It\^{o}--F\"{o}llmer Calculus in Banach Spaces II: Transformations of Quadratic Variations

Yuki Hirai
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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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Yuki Hirai. 2021-05-18. It\^{o}--F\"{o}llmer Calculus in Banach Spaces II: Transformations of Quadratic Variations. https://arxiv.org/abs/2105.08262

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