On Ito's formula for semimartingales with jumps and non-C2 functions

Eisenberg, Julia and Kruehner, Paul (2022) On Ito's formula for semimartingales with jumps and non-C2 functions. STATISTICS & PROBABILITY LETTERS, 184. p. 109369.

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Official URL: http://dx.doi.org/10.1016/j.spl.2022.109369

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.

Item Type:	Article
Uncontrolled Keywords:	Jump semimartingales, Itos formula, Non-C-2 functions
Divisions:	Faculty of Science and Engineering > School of Physical Sciences
Depositing User:	Symplectic Admin
Date Deposited:	12 May 2022 14:22
Last Modified:	19 Oct 2023 09:33
DOI:	10.1016/j.spl.2022.109369
Open Access URL:	https://www.sciencedirect.com/science/article/pii/...
Related URLs:	Author Publisher
URI:	https://livrepository.liverpool.ac.uk/id/eprint/3154672