On a formula for differentiating a stochastic integral with respect to a parameter

DOI10.1090/TRANS2/137/10zbMath0647.60061OpenAlexW4238881822MaRDI QIDQ3791992

Iosif I. Gikhman

Publication date: 1987

Published in: American Mathematical Society Translations: Series 2 (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1090/trans2/137/10

zbMATH Keywords

differentiation and integrationtwo parameter semimartingalefunctions of bounded variation on bounded rectangles

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Martingales with continuous parameter (60G44) Stochastic integrals (60H05)

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