On Itô’s formula for semimartingales with jumps and non-C² functions

Eisenberg, Julia; Krühner, Paul

doi:10.1016/j.spl.2022.109369

Record link:

http://hdl.handle.net/20.500.12708/198772

Title:

On Itô’s formula for semimartingales with jumps and non-C² functions

Citation:

Eisenberg, J., & Krühner, P. (2022). On Itô’s formula for semimartingales with jumps and non-C² functions. STATISTICS & PROBABILITY LETTERS, 184, Article 109369. https://doi.org/10.1016/j.spl.2022.109369

Publisher DOI:

10.1016/j.spl.2022.109369

CatalogPlus:

AC17227121

Publication Type:

Article - Original Research Article

Language:

English

Authors:

Eisenberg, Julia
Krühner, Paul

Organisational Unit:

E105-01 - Forschungsbereich Risikomanagement in Finanz- und Versicherungsmathematik

Journal:

STATISTICS & PROBABILITY LETTERS

ISSN:

0167-7152

Date (published):

May-2022

Number of Pages:

Publisher:

ELSEVIER

Peer reviewed:

Yes

Keywords:

Itô’s formula; Jump semimartingales; Non-C² functions

Abstract:

This paper considers a variant of Itô’s formula for discontinuous semimartingales and non-C² functions. This result is particularly helpful for insurance control problems with Markov-modulated components. An example of a dividend barrier strategy for a Brownian risk model with Markov-switching illustrates the result.

Project title:

Aktuarielle Kontrollprobleme unter Stochastischer Verzinsung: V603-N35 (FWF - Österr. Wissenschaftsfonds)

Research Areas:

Mathematical Methods in Economics: 50%
Fundamental Mathematics Research: 50%

Science Branch:

1020 - Informatik: 10%
5020 - Wirtschaftswissenschaften: 20%
1010 - Mathematik: 70%

License:

CC BY 4.0