Stieltjes integration and stochastic calculus with respect to self-affine functions

DOI10.1007/BF03167146zbMath0769.60047MaRDI QIDQ1179786

Tim Bedford, Teturo Kamae

Publication date: 27 June 1992

Published in: Japan Journal of Industrial and Applied Mathematics (Search for Journal in Brave)

zbMATH Keywords

stochastic calculusscaling transformationTanaka-like formulaorder-two Stieltjes integral

Mathematics Subject Classification ID

Stochastic integrals (60H05) Nondifferentiability (nondifferentiable functions, points of nondifferentiability), discontinuous derivatives (26A27)

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Cites Work

• Convex-invariant means and a pathwise central limit theorem
• Sur une intégrale pour les processus à \(\alpha\)-variation bornée. (On an integral for processes with bounded \(\alpha\)-variation)
• A characterization of self-affine functions
• A class of deterministic self-affine processes