An approach to the stochastic calculus in the non-Gaussian case

DOI10.1155/S1048953395000323zbMATH Open0844.60036MaRDI QIDQ1908328FDOQ1908328

Authors: A. A. Dorogovtsev 

Publication date: 18 March 1996

Published in: Journal of Applied Mathematics and Stochastic Analysis (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/47483

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zbMATH Keywords

martingalesstochastic integrationstochastic calculusIto's formulastochastic differentiation

Mathematics Subject Classification ID

Gaussian processes (60G15) Stochastic integrals (60H05) Random operators and equations (aspects of stochastic analysis) (60H25)

Cited In (6)

• Stochastic integrals and adjoint derivatives
• Stochastic analysis for a non-Markovian generator: an introduction
• Title not available (Why is that?)
• On the properties of an operator of stochastic differentiation constructed on a group
• Gaussian operators and Skorohod integrals of random fields. II
• Stochastic calculus for assets with non-Gaussian price fluctuations

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