A DISCRETE-TIME ITÔ'S FORMULA

DOI10.1081/SAP-120014691zbMath1015.60037MaRDI QIDQ4797326

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Publication date: 8 July 2003

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

zbMATH Keywords

martingalediscrete Itô formulastochastic difference equations

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42)

Related Items (4)

Stochastic dynamic equations on time scales ⋮ Nonlinear Stochastic Difference Equations Driven by Martingales ⋮ Almost sure asymptotic stability analysis of the θ-Maruyama method applied to a test system with stabilising and destabilising stochastic perturbations ⋮ The First Attempt on the Stochastic Calculus on Time Scale

Cites Work

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• DISCRETE-TIME MARTINGALES WITH SPATIAL PARAMETERS
• Discrete–time nonlinear filtering with marked point process observations: ii. risk–sensitive filters

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