Articlebronze1951

On a Formula Concerning Stochastic Differentials

369 citations0/0 files storedNagoya Mathematical Journal

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Stochastic processes and financial applications Probability and Statistical Research Nonlinear Differential Equations Analysis

Abstract

In his previous paper [1] the author has stated a formula concering stochastic differentials with the outline of the proof. The aim of this paper is to show this formula in details in a little more general form (Theorem 6).

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1969Diffusion processes with continuous coefficients, I 1964On stationary solutions of a stochastic differential equation 2010Itô’s stochastic calculus: Its surprising power for applications 1969Diffusion processes with continuous coefficients, II 1975Stochastic differential equations 2002Approximate solution of the Fokker–Planck–Kolmogorov equation 1968Representation of Gaussian processes equivalent to Wiener process 1993Ito and Stratonovich integrals for delta-correlated processes

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