Add to ORKGThe Ito formula is the fundamental theorem of stochastic calculus. This short note presents a new proof of Ito's formula for the case of continuous semimartingales. The new proof is more geometric than previous approaches, and has the particular advantage of generalizing immediately to the multivariate case without extra notational complexity
This paper shows a version of Arrow's generalization of Mangasarian's sufficient conditions valid fo...
Stochastic Calculus has found a wide range of applications in analyzing the evolution of many natura...
Abstract. This paper deals with the foundations of the stochastic mathematical finance, and it has t...
This paper considers a variant of Itô’s formula for discontinuous semimartingales and non-C2 functio...
AbstractIf X and Y are two general stochastic processess, we define a covariation process [X, Y] wit...
Summary. A generalized Ito ̂ formula for time dependent functions of two-dimensional continuous semi...
This book sheds new light on stochastic calculus, the branch of mathematics that is most widely appl...
This book offers a rigorous and self-contained presentation of stochastic integration and stochastic...
We establish an Ito formula for C"1 functions of processes whose time reversal are semimartinga...
The aim of this paper is to generalize two important results known for the Stratonovich and Itˆo int...
Our main results are extensions of the classical stochastic calculus. For a Markov process (X_t) , t...
We develop a stochastic calculus that makes it easy to capture a variety of predictable transformati...
To appear in: Annals of ProbabilityInternational audienceWe develop a non-anticipative calculus for ...
We trace Itô's early work in the 1940s, concerning stochastic integrals, stochastic differential equ...
Generalized Ito formulae are proved for time dependent functions of continuous real valued semi-mart...
This paper shows a version of Arrow's generalization of Mangasarian's sufficient conditions valid fo...
Stochastic Calculus has found a wide range of applications in analyzing the evolution of many natura...
Abstract. This paper deals with the foundations of the stochastic mathematical finance, and it has t...
This paper considers a variant of Itô’s formula for discontinuous semimartingales and non-C2 functio...
AbstractIf X and Y are two general stochastic processess, we define a covariation process [X, Y] wit...
Summary. A generalized Ito ̂ formula for time dependent functions of two-dimensional continuous semi...
This book sheds new light on stochastic calculus, the branch of mathematics that is most widely appl...
This book offers a rigorous and self-contained presentation of stochastic integration and stochastic...
We establish an Ito formula for C"1 functions of processes whose time reversal are semimartinga...
The aim of this paper is to generalize two important results known for the Stratonovich and Itˆo int...
Our main results are extensions of the classical stochastic calculus. For a Markov process (X_t) , t...
We develop a stochastic calculus that makes it easy to capture a variety of predictable transformati...
To appear in: Annals of ProbabilityInternational audienceWe develop a non-anticipative calculus for ...
We trace Itô's early work in the 1940s, concerning stochastic integrals, stochastic differential equ...
Generalized Ito formulae are proved for time dependent functions of continuous real valued semi-mart...
This paper shows a version of Arrow's generalization of Mangasarian's sufficient conditions valid fo...
Stochastic Calculus has found a wide range of applications in analyzing the evolution of many natura...
Abstract. This paper deals with the foundations of the stochastic mathematical finance, and it has t...