scientific article

Publication date: 17 September 1992

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

stochastic differential equations Schrödinger equation local time stochastic integration strong Markov property Tanaka's formula Cameron-Martin-Girsanov formula quadratic variation process Black-Scholes option pricing formula Feynman- Kac functional Lévy's characterization of Brownian motion notions of strong and weak solutions

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) Stochastic integrals (60H05) Research exposition (monographs, survey articles) pertaining to probability theory (60-02)

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