Let $X$ be a martingale and $f$ be an arbitrary function from $\mathbb{R}_{>0} \times \mathbb{R}$ to $\mathbb{R}$ which is twice continuously differentiable with compact support. Why exactly is the process $f(s,X_{s-})$ am semimartingale? Is there any application of Ito? Thanks a lot in advance!
2026-04-07 17:47:03.1775584023
Function of a martingale $=$ semimartingale?
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