On Stochastic Differentiation

DOI10.1137/1120096zbMATH Open0352.60043OpenAlexW2087882983MaRDI QIDQ4122572FDOQ4122572

Authors: Mark H. A. Davis 

Publication date: 1975

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/1120096

Mathematics Subject Classification ID

Stochastic integrals (60H05) Abstract differentiation theory, differentiation of set functions (28A15) Differentiation (real functions of one variable): general theory, generalized derivatives, mean value theorems (26A24)

Cited In (1)

• Stochastic integral representations, stochastic derivatives and minimal variance hedging

This page was built for publication: On Stochastic Differentiation

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4122572)