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When is a stochastic integral a time change of a diffusion? · Study

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ArticleWhen is a stochastic integral a time change of a diffusion?

Bernt �ksendal1990

Article1990

When is a stochastic integral a time change of a diffusion?

Bernt �ksendal

18 citations·0/0 files stored·Journal of Theoretical Probability

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Stochastic processes and financial applications Mathematical Dynamics and Fractals Stochastic processes and statistical mechanics

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References

1987Stochastic Differential Equations: An Introduction with Applications.1983Stochastic Differential Equations and Diffusion Processes 1980MULTI-DIMENSIONAL DIFFUSION PROCESSES 1981Stochastic Differential Equations and Diffusion Processes 1965ON CONTINUOUS MARTINGALES 1978Processes that can be Embedded in Brownian Motion 1977Quasimartingales, martingales locales, semimartingales et filtration naturelle 1989Stochastic Differential Equations

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Year1990

Typearticle

Published1990-04-01

VenueJournal of Theoretical Probability

ISSN-L0894-9840

Languageen

Citations18

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/bf01045159

openalex_workW2765201918

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