Ito's formula for continuous (N,d)-processes

DOI10.1007/BF00531838MaRDI QIDQ3221124zbMATH OpenFDO

Authors P. Imkeller

Publication date 1984

Published in Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete (Search for Journal in Brave)

zbMATH Keywords

maximal inequalitiesItô's formulaN-parameter Brownian sheetvariation of the 2- stochastic measure

Mathematics Subject Classification ID

Gaussian processes (60G15) Random fields (60G60) Generalizations of martingales (60G48) Random measures (60G57) Stochastic integrals (60H05)

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Cites work

• scientific article; zbMATH DE number 3678869 (Why is no real title available?)
• scientific article; zbMATH DE number 3711108 (Why is no real title available?)
• scientific article; zbMATH DE number 3725363 (Why is no real title available?)
• scientific article; zbMATH DE number 3347383 (Why is no real title available?)
• Differentiation formulas for stochastic integrals in the plane
• Local times for a class of multi-parameter processes
• Martingales and stochastic integrals for processes with a multi-dimensional parameter
• Repr�sentation des martingales de carr� integrable relative aux processus de Wiener et de Poisson � n param�tres
• Semi-martingales index�es par une partie de ?d et formule de lto. Cas continu
• Stochastic analysis and local times for (N,d)-Wiener process
• Stochastic integrals in the plane
• Stochastic integration and \(L^ p-\)theory of semimartingales
• Weak martingales and stochastic integrals in the plane

Cited in

(13)

• Stochastic integrals for nonprevisible, multiparameter processes
• A stochastic calculus for continuous N-parameter strong martingales
• Itô's formula for finite variation Lévy processes: the case of non-smooth functions
• Wiener distributions and white noise analysis
• Local times for a class of multi-parameter processes
• Itô's formula for the \(L _{p }\)-norm of stochastic \({W^{1}_{p}}\)-valued processes
• Strong solutions of stochastic differential equations for multiparameter processes
• Infinite-dimensional Ito processes with respect to Gaussian random measures and the Ito formula
• Stochastic integration with respect to local time of the Brownian sheet and regularising properties of Brownian sheet paths
• r-variations for two-parameter continuous martingales and Itô's formula
• A DISCRETE-TIME ITÔ'S FORMULA
• Stochastic analysis and local times for (N,d)-Wiener process
• Local times of continuous N-parameter strong martingales

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