Stochastic calculus with infinitesimals

DOI10.1007/978-3-642-33149-7zbMath1302.60006OpenAlexW114009121WikidataQ57542972 ScholiaQ57542972MaRDI QIDQ455364

Frederik S. Herzberg

Publication date: 5 October 2012

Published in: Lecture Notes in Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-33149-7

zbMATH Keywords

Lévy processesnonstandard analysismathematical financestochastic analysisfundamental theorem of asset pricingItō formulaGirsanov change of measuresinfinitesimal definition of Feynman's path integralminimal internal set theory

Mathematics Subject Classification ID

Introductory exposition (textbooks, tutorial papers, etc.) pertaining to probability theory (60-01) Nonstandard models in mathematics (03H05) Axioms; other general questions in probability (60A05)

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