The First Attempt on the Stochastic Calculus on Time Scale

DOI10.1080/07362994.2011.610169zbMath1238.60061MaRDI QIDQ3114571

Nguyen Thanh Dieu, Nguyen Huu Du

Publication date: 19 February 2012

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

Full work available at URL: https://doi.org/10.1080/07362994.2011.610169

zbMATH Keywords

martingale; stochastic integration; time scale; Itô's formula; \(\nabla\)-stochastic integral; Doob-Mayer decomposition; Lebesgue-Stieltjes \(\nabla\)-integral; Lebesgue-Stieltjes measure on time scale; natural increasing process

Mathematics Subject Classification ID

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

60G44: Martingales with continuous parameter

60J60: Diffusion processes

60H05: Stochastic integrals

26E70: Real analysis on time scales or measure chains

39A50: Stochastic difference equations

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