From discrete to continuous stochastic calculus

DOI10.1080/17442509508833970MaRDI QIDQ4890046zbMATH OpenOpenAlexFDO

Authors Nigel J. Cutland, P. Ekkehard Kopp, Walter Willinger

Publication date 3 June 1997

Published in Stochastics and Stochastic Reports (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/17442509508833970

zbMATH Keywords

\(D^ 2\)-convergencediscretization schemesinvariance principlesmartingale representationstochastic calculusWiener space

Mathematics Subject Classification ID

Functional limit theorems; invariance principles (60F17) Stochastic integrals (60H05)

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(8)

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• First steps towards an equilibrium theory for Lévy financial markets
• Elementary stochastic calculus for finance with infinitesimals
• On the convergence of discrete processes with multiple independent variables
• Equilibrium Pricing of Derivative Securities in Dynamically Incomplete Markets
• Stochastic-\(\alpha\) calculus, a fundamental theorem and Burkholder-Davis-Gundy-type estimates
• An alternative approach to Privault's discrete-time chaotic calculus
• A high-order Markov-switching model for risk measurement

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