scientific article; zbMATH DE number 4201285

MaRDI QIDQ3349699zbMATH OpenFDO

Authors Tamas Szabados

Publication date 1990

zbMATH Keywords

discrete version of Itô's formulaItô's formula for smooth functions of a Wiener process

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Stochastic integrals (60H05)

Recommendations

• A random walk analogue of Lévy’s Theorem
• A DISCRETE-TIME ITÔ'S FORMULA
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• A discrete Itō calculus approach to He's framework for multi-factor discrete markets

Cited in

(10)

• On mean numbers of passage times in small balls of discretized Itô processes
• Itô formula for one-dimensional continuous-time quantum random walk
• Strong approximation of fractional Brownian motion by moving averages of simple random walks.
• Discrete stochastic calculus and its applications: an expository note
• Itô formula for multidimensional continuous-time quantum random walk
• A DISCRETE-TIME ITÔ'S FORMULA
• Corrigendum: On the use of a discrete form of the Itô formula in the article ``Almost sure asymptotic stability analysis of the \(\theta\)-Maruyama method applied to a test system with stabilising and destabilising~stochastic~perturbations
• A random walk analogue of Lévy’s Theorem
• On the convergence of discrete processes with multiple independent variables
• A discrete Itō calculus approach to He's framework for multi-factor discrete markets

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