On Stochastic Differentiation

DOI10.1137/1120096zbMath0352.60043OpenAlexW2087882983MaRDI QIDQ4122572

Mark H. A. Davis

Publication date: 1975

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/1120096

Mathematics Subject Classification ID

Differentiation (real functions of one variable): general theory, generalized derivatives, mean value theorems (26A24) Stochastic integrals (60H05) Abstract differentiation theory, differentiation of set functions (28A15)

Related Items (1)

Stochastic integral representations, stochastic derivatives and minimal variance hedging

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