%0 Journal Article
%T It£¿'s formula for finite variation L¨¦vy processes: The case of non-smooth functions
%A Ramin Okhrati
%A Uwe Schmock
%J Quantitative Finance
%D 2015
%I arXiv
%R 10.1016/j.jmaa.2015.05.025
%X Extending It\^o's formula to non-smooth functions is important both in theory and applications. One of the fairly general extensions of the formula, known as Meyer-It\^o, applies to one dimensional semimartingales and convex functions. There are also satisfactory generalizations of It\^o's formula for diffusion processes where the Meyer-It\^o assumptions are weakened even further. We study a version of It\^o's formula for multi-dimensional finite variation L\'evy processes assuming that the underlying function is continuous and admits weak derivatives. We also discuss some applications of this extension, particularly in finance.
%U http://arxiv.org/abs/1507.00294v1