Work

Elements of Stochastic Calculus via Regularisation

Year: 2006

Type: preprint

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.

Source: arXiv (Cornell University)

DOI: 10.48550/arxiv.math/0603224

Authors: Russo, Francesco, Vallois, Pierre

Institutions: Université Sorbonne Paris Nord, Institut Élie Cartan de Lorraine, Université Henri Poincaré

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W2951908164

Cites: 9

Cited by: 13

Related to: 10