In this article, we construct a mapping I: D[0, ∞)×D[0,∞)→D[0,∞) such that if (Xt) is a semimartingale on a probability space (O, F, P) with respect to a filtration (F t) and if (ft) is an r.c.l.l. ( Ft) adapted process, then I(.(ω).X.(ω))=∫0-dX(ω)a.s. This is of significance when using stochastic integrals in statistical inference problems. Similar results on solutions to SDEs are also given
AbstractAssuming that {(Un,Vn)} is a sequence of càdlàg processes converging in distribution to (U,V...
It has been 15 years since the first edition of Stochastic Integration and Differential Equations, A...
AbstractStochastic integration of left continuous integrands with respect to quasimartingales is dev...
In this article, we construct a mapping I: D[0, ∞)×D[0,∞)→D[0,∞) such t...
AbstractIn this article, we construct a mapping I: D[0, ∞)×D[0,∞)→D[0,∞)such that if (Xt) is a semim...
AbstractThe objective of this paper is to present the principal results of a large part of stochasti...
International audienceAdapted processes depending on a random parameter may define a sigma-additive ...
"This comprehensive guide to stochastic processes gives a complete overview of the theory and addres...
The Ito-Stratonovich theory of stochastic integration and stochastic differential equations has seve...
To appear in: Annals of ProbabilityInternational audienceWe develop a non-anticipative calculus for ...
International audienceIn this paper we address an open question formulated in [17]. That is, we exte...
Differential equations have been used to model physical systems, but in many processes this has not ...
AbstractA simple proof is given of the representation of martingales adapted to the sigma fields of ...
AbstractExamples of square integrable martingales adapted to processes with independent increments a...
AbstractThe objective of this paper is to present the principal results of a large part of stochasti...
AbstractAssuming that {(Un,Vn)} is a sequence of càdlàg processes converging in distribution to (U,V...
It has been 15 years since the first edition of Stochastic Integration and Differential Equations, A...
AbstractStochastic integration of left continuous integrands with respect to quasimartingales is dev...
In this article, we construct a mapping I: D[0, ∞)×D[0,∞)→D[0,∞) such t...
AbstractIn this article, we construct a mapping I: D[0, ∞)×D[0,∞)→D[0,∞)such that if (Xt) is a semim...
AbstractThe objective of this paper is to present the principal results of a large part of stochasti...
International audienceAdapted processes depending on a random parameter may define a sigma-additive ...
"This comprehensive guide to stochastic processes gives a complete overview of the theory and addres...
The Ito-Stratonovich theory of stochastic integration and stochastic differential equations has seve...
To appear in: Annals of ProbabilityInternational audienceWe develop a non-anticipative calculus for ...
International audienceIn this paper we address an open question formulated in [17]. That is, we exte...
Differential equations have been used to model physical systems, but in many processes this has not ...
AbstractA simple proof is given of the representation of martingales adapted to the sigma fields of ...
AbstractExamples of square integrable martingales adapted to processes with independent increments a...
AbstractThe objective of this paper is to present the principal results of a large part of stochasti...
AbstractAssuming that {(Un,Vn)} is a sequence of càdlàg processes converging in distribution to (U,V...
It has been 15 years since the first edition of Stochastic Integration and Differential Equations, A...
AbstractStochastic integration of left continuous integrands with respect to quasimartingales is dev...
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