We show an It o's formula for nondegenerate Brownian martingales Xt = R t 0 us dWs and functions F(x, t) with locally integrable derivatives in t and x. We prove that one can express the additional term in It o's s formula as an integral over space and time with respect to local time
We develop a stochastic calculus on the plane with respect to the local times of a large class of Lé...
In this dissertation we explore aspects of Itô's formula and the Martingale Representation Theorem w...
AbstractRecently, a new approach in the fine analysis of sample paths of stochastic processes has be...
We show an Itˆo's formula for nondegenerate Brownian martingales Xt =ς t/0 us dWs and functions F(x,...
We show an Itô’s formula for nondegenerate Brownian martingales Xt = R t 0 usdWs and functions F (x...
We show an It o's formula for nondegenerate Brownian martingales Xt = R t 0 us dWs and functions F(x...
Generalised Ito formulae are proved for time dependent functions of continuous real valued semi-mart...
AbstractWe construct a stochastic calculus with respect to the local time process of a symmetric Lév...
AbstractIn this note we develop the theory of stochastic integration w.r.t. continuous local marting...
To appear in: Annals of ProbabilityInternational audienceWe develop a non-anticipative calculus for ...
AbstractLet {Xt} be a continuous square integrable martingale. Denote its increasing (natural) proce...
Bardina and Jolis [Stochastic process. Appl. 69 (1997) 83-109] prove an extension of Ito's formula f...
In this paper we study the local times of Brownian motion from the point of view of algorithmic rand...
Summary. A generalized Ito ̂ formula for time dependent functions of two-dimensional continuous semi...
We prove Bismut-type formulae for the first and second derivatives of a Feynman-Kac semigroup on a c...
We develop a stochastic calculus on the plane with respect to the local times of a large class of Lé...
In this dissertation we explore aspects of Itô's formula and the Martingale Representation Theorem w...
AbstractRecently, a new approach in the fine analysis of sample paths of stochastic processes has be...
We show an Itˆo's formula for nondegenerate Brownian martingales Xt =ς t/0 us dWs and functions F(x,...
We show an Itô’s formula for nondegenerate Brownian martingales Xt = R t 0 usdWs and functions F (x...
We show an It o's formula for nondegenerate Brownian martingales Xt = R t 0 us dWs and functions F(x...
Generalised Ito formulae are proved for time dependent functions of continuous real valued semi-mart...
AbstractWe construct a stochastic calculus with respect to the local time process of a symmetric Lév...
AbstractIn this note we develop the theory of stochastic integration w.r.t. continuous local marting...
To appear in: Annals of ProbabilityInternational audienceWe develop a non-anticipative calculus for ...
AbstractLet {Xt} be a continuous square integrable martingale. Denote its increasing (natural) proce...
Bardina and Jolis [Stochastic process. Appl. 69 (1997) 83-109] prove an extension of Ito's formula f...
In this paper we study the local times of Brownian motion from the point of view of algorithmic rand...
Summary. A generalized Ito ̂ formula for time dependent functions of two-dimensional continuous semi...
We prove Bismut-type formulae for the first and second derivatives of a Feynman-Kac semigroup on a c...
We develop a stochastic calculus on the plane with respect to the local times of a large class of Lé...
In this dissertation we explore aspects of Itô's formula and the Martingale Representation Theorem w...
AbstractRecently, a new approach in the fine analysis of sample paths of stochastic processes has be...