On stochastic integration and differentiation

DOI10.1023/A:1006301024833zbMath0949.60061OpenAlexW51639189MaRDI QIDQ1969265

Giulia Di Nunno, Yu. A. Rozanov

Publication date: 8 August 2000

Published in: Acta Applicandae Mathematicae (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1006301024833

zbMATH Keywords

stochastic integrationmeasurable modificationItô martingale representation theorem

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integrals (60H05)

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RANDOM FIELDS: NON-ANTICIPATING DERIVATIVE AND DIFFERENTIATION FORMULAS ⋮ Explicit Representation of the Minimal Variance Portfolio in Markets Driven by Levy Processes ⋮ Minimal-Variance Hedging in Large Financial Markets: Random Fields Approach ⋮ Stochastic integral representations, stochastic derivatives and minimal variance hedging

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