Itô stochastic differentials

DOI10.1016/j.spa.2024.104317arXiv2004.03419OpenAlexW3015357330MaRDI QIDQ6204190

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Publication date: 27 March 2024

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

Full work available at URL: https://arxiv.org/abs/2004.03419

zbMATH Keywords

quadratic variationcontinuous semimartingalesItô integrationdifferentials in stochastic analysis

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Generalizations of martingales (60G48) Stochastic integrals (60H05)

Cites Work

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• Functional Itō calculus and stochastic integral representation of martingales
• Brownian Motion, Martingales, and Stochastic Calculus
• The Malliavin Calculus and Related Topics
• The Markowitz Category
• Intrinsic stochastic differential equations as jets
• Pathwise integration and change of variable formulas for continuous paths with arbitrary regularity
• Stochastic Calculus and Applications
• A Differentiation Theory for Itô's Calculus
• Stochastic integral

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