Itô formula for free stochastic integrals

DOI10.1006/jfan.2001.3849zbMath0998.46031arXivmath/0102063OpenAlexW2086035724MaRDI QIDQ1604551

Michael Anshelevich

Publication date: 4 July 2002

Published in: Journal of Functional Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0102063

zbMATH Keywords

Ito formula\(W^*\)-noncommutative probability spacebiprocessfree Burkholder-Davis-Gundy inequalityfree stochastic integrals

Mathematics Subject Classification ID

Free probability and free operator algebras (46L54) Noncommutative probability and statistics (46L53) Stochastic integrals (60H05)

Related Items (12)

Regularity results for free Lévy processes ⋮ Itô's formula for noncommutative \(C^2\) functions of free Itô processes ⋮ Multiple Stratonovich integral and Hu-Meyer formula for Lévy processes ⋮ Two-state free Brownian motions ⋮ Generators of some non-commutative stochastic processes ⋮ Numerical Solution of Free Stochastic Differential Equations ⋮ Free martingale polynomials. ⋮ On free stochastic differential equations ⋮ Free Ornstein--Uhlenbeck processes ⋮ Markov processes with free-Meixner laws ⋮ Lévy processes in free probability ⋮ Free Markov processes and stochastic differential equations in von Neumann algebras

Cites Work

• Addition of certain non-commuting random variables
• Stochastic calculus with respect to free Brownian motion and analysis on Wigner space
• Stochastic integrals: A combinatorial approach
• Free stochastic measures via noncrossing partitions
• Free stochastic measures via noncrossing partitions. II.
• Free Random Variables
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