On stochastic integration and differentiation

DOI10.1023/A:1006301024833zbMATH Open0949.60061OpenAlexW51639189MaRDI QIDQ1969265FDOQ1969265

Yu. A. Rozanov, Giulia Di Nunno

Publication date: 8 August 2000

Published in: Acta Applicandae Mathematicae (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1006301024833

zbMATH Keywords

stochastic integrationmeasurable modification[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=It%EF%BF%BD%EF%BF%BD+martingale+representation+theorem&go=Go It�� martingale representation theorem]

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integrals (60H05)

Cited In (7)

• Title not available (Why is that?)
• Stochastic differentiation: A generalized approach
• Stochastic integral representations, stochastic derivatives and minimal variance hedging
• Explicit Representation of the Minimal Variance Portfolio in Markets Driven by Levy Processes
• Title not available (Why is that?)
• Minimal-Variance Hedging in Large Financial Markets: Random Fields Approach
• RANDOM FIELDS: NON-ANTICIPATING DERIVATIVE AND DIFFERENTIATION FORMULAS

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