Simplified stochastic calculus with applications in economics and finance

DOI10.1016/j.ejor.2020.12.037zbMath1487.60102arXiv1912.03651OpenAlexW3114328116MaRDI QIDQ2030297

Johannes Ruf, Aleš Černý

Publication date: 7 June 2021

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1912.03651

zbMATH Keywords

Girsanov's theoremdriftÉmery formulasimplified stochastic calculus

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Fundamental topics (basic mathematics, methodology; applicable to economics in general) (91B02) Generalizations of martingales (60G48) Martingales with continuous parameter (60G44) Financial applications of other theories (91G80) Stochastic integrals (60H05)

Related Items (3)

Simplified calculus for semimartingales: multiplicative compensators and changes of measure ⋮ Pure-jump semimartingales ⋮ Simplified stochastic calculus via semimartingale representations

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