On the stochastic differentiability of noncausal processes with respect to the process with quadratic variation

DOI10.1080/17442508.2023.2214266OpenAlexW4378375599MaRDI QIDQ6189979

Kiyoiki Hoshino

Publication date: 5 February 2024

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508.2023.2214266

zbMATH Keywords

quadratic variationstochastic integralquadratic covariationnoncausalstochastic derivativeanticipative

Mathematics Subject Classification ID

Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07)

Cites Work

• On a class of generalized Takagi functions with linear pathwise quadratic variation
• Stochastic calculus with anticipating integrands
• Fourier series method for measurement of multivariate volatilities
• On quadratic variation of martingales
• Pathwise integration with respect to paths of finite quadratic variation
• The Malliavin Calculus and Related Topics
• On a Generalization of a Stochastic Integral
• The stochastic integral of noncausal type as an extension of the symmetric integrals
• Noncausal Stochastic Calculus
• On a stochastic Fourier transformation
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