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Summary: A N G E W A N D T E M A T H E M A T I K
U N D
I N F O R M A T I K
A Useful Extension of It^o's Formula
with Applications
to Optimal Stopping
Gerold Alsmeyer and Markus Jaeger
Universit¨at M¨unster
e-mail: {gerolda,jaegerm}@math.uni-muenster.de
Bericht Nr. 22/02-S
U N I V E R S I T ¨A T M ¨U N S T E R
A Useful Extension of It^o's Formula
with Applications to Optimal Stopping
Gerold Alsmeyer and Markus Jaeger
Institut f¨ur Mathematische Statistik
Fachbereich Mathematik
Westf¨alische Wilhelms-Universit¨at M¨unster
Einsteinstraße 62
D-48149 M¨unster, Germany
Given a continuous semimartingale M = (Mt)t0 and a d-dimensional
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