Abstract
Choose \(f\in C^2(\mathbb {R})\) and put \(Y(t)=f(X(t))\). Then by the Itô formula.
This is a preview of subscription content, log in via an institution to check access.
Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
Author information
Authors and Affiliations
Corresponding author
Rights and permissions
Copyright information
© 2019 Springer Nature Switzerland AG
About this chapter
Cite this chapter
Øksendal, B., Sulem, A. (2019). Solutions of Selected Exercises. In: Applied Stochastic Control of Jump Diffusions. Universitext. Springer, Cham. https://doi.org/10.1007/978-3-030-02781-0_14
Download citation
DOI: https://doi.org/10.1007/978-3-030-02781-0_14
Published:
Publisher Name: Springer, Cham
Print ISBN: 978-3-030-02779-7
Online ISBN: 978-3-030-02781-0
eBook Packages: Mathematics and StatisticsMathematics and Statistics (R0)