Elements of Stochastic Calculus via Regularisation

Francesco Russo 1 Pierre Vallois 2, 3
3 TOSCA
INRIA Lorraine, CRISAM - Inria Sophia Antipolis - Méditerranée , UHP - Université Henri Poincaré - Nancy 1, Université Nancy 2, INPL - Institut National Polytechnique de Lorraine, CNRS - Centre National de la Recherche Scientifique : UMR7502
Abstract : This paper first summarizes the foundations of stochastic calculus via regularization and constructs through this procedure Itô and Stratonovich integrals. In the second part, a survey and new results are presented in relation with finite quadratic variation processes, Dirichlet and weak Dirichlet processes.
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https://hal.archives-ouvertes.fr/hal-00020443
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Submitted on : Friday, March 10, 2006 - 12:55:47 PM
Last modification on : Thursday, February 7, 2019 - 5:49:14 PM

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Francesco Russo, Pierre Vallois. Elements of Stochastic Calculus via Regularisation. Séminaire de Probabilités, Springer-Verlag, 2007, 1899-2007, pp.147-185. ⟨10.1007/978-3-540-71189-6_7⟩. ⟨hal-00020443⟩

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