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Generalized Itǒ Formulae and Space-Time Lebesgue–Stieltjes Integrals of Local Times · Study

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ChapterGeneralized Itǒ Formulae and Space-Time Lebesgue–Stieltjes Integrals of Local Times

K. David Elworthy2007

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Chaptergreen2007

Generalized Itǒ Formulae and Space-Time Lebesgue–Stieltjes Integrals of Local Times

K. David Elworthy · Aubrey Truman · Huaizhong Zhao

35 citations·0/0 files stored·Springer eBooks

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Stochastic processes and financial applications Probability and Statistical Research Stochastic processes and statistical mechanics

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References

2007Brownian Motion and Stochastic Calculus 1999Continuous Martingales and Brownian Motion 1983Stochastic Differential Equations and Diffusion Processes 1980Controlled Diffusion Processes 2002System Control and Rough Paths 2002Un Cours sur les Intégrales Stochastiques 2000Integration with respect to local time 2003Some SDEs with distributional drift Part I: General calculus

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2006Two-parameter p, q-variation Paths and Integrations of Local Times

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Year2007

Typechapter

Published2007-07-24

VenueSpringer eBooks

Languageen

Citations35

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/978-3-540-71189-6_5

openalex_workW1896028034

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