On the works of kiyosi itô and stochastic analysis

DOI10.1007/s11537-007-0644-0zbMath1156.60005OpenAlexW1985493372MaRDI QIDQ1000327

Masatoshi Fukushima

Publication date: 6 February 2009

Published in: Japanese Journal of Mathematics. 3rd Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11537-007-0644-0

zbMATH Keywords

excursionsstochastic differential equationBrownian motionItô integralstochastic controlstochastic geometryItô formulaWiener-Itô decompositionone-dimensional diffusionLévy-Itô decompositionstochastic finance

Mathematics Subject Classification ID

Biographies, obituaries, personalia, bibliographies (01A70) Stochastic analysis (60Hxx) History of probability theory (60-03)

Cites Work

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• The Pricing of Options and Corporate Liabilities
• Exit systems
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• On a class of additive functionals of Markov processes
• Brownian motions on a half line
• Zur Theorie der stochastischen Prozesse. (Existenz- und Eindeutigkeitssätze.)
• Multiple Wiener integral
• The parabolic differential equations and the associated semigroups of transformation
• On second order differential operators
• DIRICHLET SPACES
• Markov Processes from K. Ito's Perspective (AM-155)
• On Square Integrable Martingales
• A kinematic theory of turbulence
• Two-dimensional Brownian motion and harmonic functions