[944] Doubts Itô Formula

[David Itkin]

Ito only holds if [image: f \in C^{1,2}] -- I don't know of any examples
where the conditions fail, but the formula still holds. For the formula to
make sense even, (but not satisfy the conditions) you would need for the
derivatives to exist, but not be continuous, so it's not that simple to
even try and look for examples where it might hold with less regularity on
f.

On Wed, Nov 15, 2017 at 11:28 AM, Lucas Duarte Bahia <
lduarteb at andrew.cmu.edu> wrote:

> In the notes we have:
>
> [image: Inline image 2]
>
> Is C1,2 a necessary and sufficient condition, or just a sufficient
> condition?
>
> What I mean is if f is not C1,2 is there any case where I can still apply
> Itô?
>
> Thanks,
> *Lucas Duarte Bahia*
> MS. Computational Finance Student
> Carnegie Mellon University
> Telephone: (412) 378-1892
>
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>
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