Itô--Föllmer Calculus in Banach Spaces I: The Itô Formula
Yuki Hirai·2021-04-16·via math.PR updates on arXiv.org
We prove Föllmer's pathwise Itô formula for a Banach space-valued càdlàg path. We also relax the assumption on the sequence of partitions along which we treat the quadratic variation of a path.