The generalized covariation process and Itô formula

From MaRDI portal
Publication:1904537

DOI10.1016/0304-4149(95)93237-AzbMath0840.60052WikidataQ60961657 ScholiaQ60961657MaRDI QIDQ1904537

Francesco Russo, Pierre Vallois

Publication date: 30 June 1996

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)




Related Items (56)

Generalized integration and stochastic ODEsOn path-dependent SDEs involving distributional driftsA \(\mathbb{C}^{0, 1}\)-functional Itô's formula and its applications in mathematical financeOn forward stochastic integrals over the loop spaceA stochastic calculus for Rosenblatt processesGENERALIZED COVARIATION AND EXTENDED FUKUSHIMA DECOMPOSITION FOR BANACH SPACE-VALUED PROCESSES: APPLICATIONS TO WINDOWS OF DIRICHLET PROCESSESWeak Dirichlet processes with a stochastic control perspectiveIto formula for \(C^ 1\)-functions of semimartingalesShort Communication: Chances for the Honest in Honest versus Insider TradingMalliavin calculus used to derive a stochastic maximum principle for system driven by fractional Brownian and standard Wiener motions with applicationViable insider marketsINFORMATION AND OPTIMAL INVESTMENT IN DEFAULTABLE ASSETSNonsemimartingales: stochastic differential equations and weak Dirichlet processesA nonlinear Kolmogorov equation for stochastic functional delay differential equations with jumpsWeak Dirichlet processes with jumpsStochastic controls of fractional Brownian motionWeak Dirichlet processes and generalized martingale problemsItô-Föllmer calculus in Banach spaces. I: The Itô formulaStrategic insider trading equilibrium: a filter theory approachANTICIPATING MULTIDIMENSIONAL STOCHASTIC DIFFERENTIAL EQUATIONS WITH REFLECTIONSStochastic integration with respect to additive functionals of zero quadratic variationTime reversal of Volterra processes driven stochastic differential equationsNonlinear fractional stochastic PDEs and BDSDEs with Hurst parameter in (1/2,1)On stochastic calculus related to financial assets without semimartingalesA change of variable formula with Itô correction termThe obstacle problem of integro-partial differential equations with applications to stochastic optimal control/stopping problemThe identification problem for BSDEs driven by possibly non-quasi-left-continuous random measuresProduct of two multiple stochastic integrals with respect to a normal martingaleQuadratic covariation estimates in non-smooth stochastic calculusGeneralized covariation for Banach space valued processes, Itō formula and applicationsMINIMAL VARIANCE HEDGING FOR INSIDER TRADINGGeneralized covariations, local time and Stratonovich Itô's formula for fractional Brownian motion with Hurst index \(H\geq\frac 1 4\).Stochastic systems with memory and jumpsVariations of the solution to a stochastic heat equationApproximation via regularization of the local time of semimartingales and Brownian motionStrong-viscosity solutions: classical and path-dependent PDEsGaussian and non-Gaussian processes of zero power variationA Feynman-Kac result via Markov BSDEs with generalised driversSome Brownian local time approximations.Functional and Banach Space Stochastic Calculi: Path-Dependent Kolmogorov Equations Associated with the Frame of a Brownian MotionStratonovich stochastic differential equation with irregular coefficients: Girsanov's example revisitedStochastic differential equations with fractal noiseForward and symmetric Wick-Itô integrals with respect to fractional Brownian motionA Donsker delta functional approach to optimal insider control and applications to financeConvergence at First and Second Order of Some Approximations of Stochastic IntegralsUTILITY MAXIMIZATION IN AN INSIDER INFLUENCED MARKETOptimal portfolio for an insider in a market driven by Lévy processes§Calculus via regularizations in Banach spaces and Kolmogorov-type path-dependent equationsRegularization of the Stratonovich equations with jumps between manifoldsForward integrals and SDE with fractal noiseForward integration, convergence and non-adapted pointwise multipliersThe evolution of a random vortex filamentMixed Brownian–fractional Brownian model: absence of arbitrage and related topics\(n\)-covariation, generalized Dirichlet processes and calculus with respect to finite cubic variation processes.STOCHASTIC INTEGRATION WITH RESPECT TO THE CYLINDRICAL WIENER PROCESS VIA REGULARIZATIONLONG RANGE DEPENDENCE, NO ARBITRAGE AND THE BLACK–SCHOLES FORMULA



Cites Work


This page was built for publication: The generalized covariation process and Itô formula