Stochastic integral representations of the extrema of time-homogeneous diffusion processes (Q340115)
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scientific article; zbMATH DE number 6652319
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Stochastic integral representations of the extrema of time-homogeneous diffusion processes |
scientific article; zbMATH DE number 6652319 |
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Stochastic integral representations of the extrema of time-homogeneous diffusion processes (English)
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11 November 2016
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time-homogeneous diffusion processes
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stochastic integral representation
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martingale representation
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Itō formula
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running extremum
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