Set-Indexed Itô Calculus Along Paths

DOI10.1081/SAP-120037630zbMath1069.60038MaRDI QIDQ4826130

Diane Saada, Giacomo Aletti

Publication date: 11 November 2004

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

zbMATH Keywords

dimension reductionmartingalelocal timeset-indexed processesbracketmain flow

Mathematics Subject Classification ID

Gaussian processes (60G15) Brownian motion (60J65) Martingales with continuous parameter (60G44) General theory of stochastic processes (60G07) Stochastic integrals (60H05) Local time and additive functionals (60J55)

Related Items (2)

Set indexed strong martingales and path independent variation ⋮ Set-indexed Brownian motion on increasing paths

Cites Work

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• Stochastic integrals in the plane
• Random censoring in set-indexed survival analysis
• Characterization of spatial Poisson process along optional increasing paths. A problem of dimension's reduction
• Probability with Martingales
• Reduction of dimension for spatial point processes and right continuous martingales
• Martingales and stochastic integrals for processes with a multi-dimensional parameter
• Stochastic birth-and-growth processes modelling crystallization of polymers with spatially heterogeneous parameters

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