The First Attempt on the Stochastic Calculus on Time Scale
DOI10.1080/07362994.2011.610169zbMath1238.60061OpenAlexW1967352105MaRDI QIDQ3114571
Nguyen Thanh Dieu, Nguyen Huu Du
Publication date: 19 February 2012
Published in: Stochastic Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07362994.2011.610169
martingalestochastic integrationtime scaleItô's formula\(\nabla\)-stochastic integralDoob-Mayer decompositionLebesgue-Stieltjes \(\nabla\)-integralLebesgue-Stieltjes measure on time scalenatural increasing process
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Martingales with continuous parameter (60G44) Diffusion processes (60J60) Stochastic integrals (60H05) Real analysis on time scales or measure chains (26E70) Stochastic difference equations (39A50)
Related Items (11)
Cites Work
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- Analysis on measure chains - a unified approach to continuous and discrete calculus
- Expression of the Lebesgue \(\Delta\)-integral on time scales as a usual Lebesgue integral; application to the calculus of \(\Delta\)-antiderivatives
- Brownian motion on disconnected sets, basic hypergeometric functions, and some continued fractions of Ramanujan
- Foundations of Modern Probability
- A DISCRETE-TIME ITÔ'S FORMULA
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