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 October 29th, 2010, 06:38 PM #1 Newbie   Joined: Oct 2010 Posts: 3 Thanks: 0 Ito's formula I have a book written by Shreve "Stochastic calculus for finance" and when he states the Ito's formula for the function $f(t,x)$ he says that the derivatives $f_t, f_x, f_{xx}$ should be continuous. But it's not enough to guarantee that the stochastic integral in the formula is actually an Ito's integral because there is no square-integrabilty assumption on $f_x$. Also, when he discusses Feynman-Kac formula he doesn't make the assumption that $f_x$ is square-integrable but at the same time claims that the stochastic integral is a martingale. Why is that?

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