Ito formula for \(C^ 1\)-functions of semimartingales
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Publication:1908537
DOI10.1007/BF01303801zbMath0838.60045OpenAlexW1992472513MaRDI QIDQ1908537
Francesco Russo, Pierre Vallois
Publication date: 27 May 1996
Published in: Probability Theory and Related Fields (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/bf01303801
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) Stochastic integrals (60H05)
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Cites Work
- Lectures on stochastic flows and applications. Delivered at the Indian Institute of Science, Bangalore, under the T.I.F.R.-I.I.Sc. programme in applications of mathematics. Notes by M. K. Ghosh
- Time reversal of diffusions
- Decomposition of Dirichlet processes and its applications
- Forward, backward and symmetric stochastic integration
- Integration by parts and time reversal for diffusion processes
- The generalized covariation process and Itô formula
- Les processus de dirichlet et tant qu'espace de banach
- Semimartingales and Markov processes
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