A generalised Itō formula for Lévy-driven Volterra processes
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Publication:2347455
DOI10.1016/j.spa.2015.02.009zbMath1319.60120arXiv1402.6568OpenAlexW2266888880MaRDI QIDQ2347455
Christian Bender, Robert Knobloch, Philip Oberacker
Publication date: 27 May 2015
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1402.6568
Processes with independent increments; Lévy processes (60G51) Fractional processes, including fractional Brownian motion (60G22) Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07)
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