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

Abstract

In this paper, we study properties of quadratic variations of càdlàg paths within the framework of the Itô--Föllmer 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.

34 pages. Revised version

References in corpus (5)

• Pathwise integration with respect to paths of finite quadratic variation
• On pathwise quadratic variation for cadlag functions
• Local times for continuous paths of arbitrary regularity
• Bilinear equations in Hilbert space driven by paths of low regularity
• Itô--Föllmer Calculus in Banach Spaces I: The Itô Formula

Cited by in corpus (1)

• Itô--Föllmer Calculus in Banach Spaces I: The Itô Formula