Nonlinear stochastic integration with a non-smooth family of integrators

DOI10.1080/17442508.2011.616206zbMath1255.60084OpenAlexW1972773911MaRDI QIDQ4648575

Christoph Kühn

Publication date: 9 November 2012

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508.2011.616206

zbMATH Keywords

Itô integralsnonlinear stochastic integralsparameter depending semimartingales

Mathematics Subject Classification ID

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

Related Items (1)

Martingale decomposition of an L² space with nonlinear stochastic integrals

Cites Work

• Martingales dépendant d'un paramètre: une formule d'Ito
• Hedging and Portfolio Optimization in Financial Markets with a Large Trader
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