Itô's formula for non-smooth functions
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Publication:1328887
DOI10.2977/prims/1195168209zbMath0795.60075OpenAlexW4256127306MaRDI QIDQ1328887
Publication date: 8 September 1994
Published in: Publications of the Research Institute for Mathematical Sciences, Kyoto University (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2977/prims/1195168209
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Stochastic integrals (60H05)
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Diffusions with singular drift related to wave functions, A solution to Schrödinger's problem of nonlinear integral equations, Itô's formula for finite variation Lévy processes: the case of non-smooth functions
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