Stochastic calculus with respect to continuous finite quadratic variation processes
From MaRDI portal
Publication:4504920
DOI10.1080/17442500008834244zbMath0981.60053OpenAlexW1986974679MaRDI QIDQ4504920
Francesco Russo, Pierre Vallois
Publication date: 14 September 2000
Published in: Stochastics and Stochastic Reports (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/17442500008834244
Gaussian processes (60G15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Martingales with continuous parameter (60G44) Stochastic integrals (60H05)
Related Items
Generalized integration and stochastic ODEs ⋮ Fractional term structure models: No-arbitrage and consistency ⋮ On the regularity of stochastic currents, fractional Brownian motion and applications to a turbulence model ⋮ GENERALIZED COVARIATION AND EXTENDED FUKUSHIMA DECOMPOSITION FOR BANACH SPACE-VALUED PROCESSES: APPLICATIONS TO WINDOWS OF DIRICHLET PROCESSES ⋮ Wiener integrals, Malliavin calculus and covariance measure structure ⋮ Weak Dirichlet processes with a stochastic control perspective ⋮ Short Communication: Chances for the Honest in Honest versus Insider Trading ⋮ The generalized quadratic covariation for fractional Brownian motion with Hurst index less than 1/2 ⋮ Averaging principle for equation driven by a stochastic measure ⋮ Viable insider markets ⋮ INFORMATION AND OPTIMAL INVESTMENT IN DEFAULTABLE ASSETS ⋮ Nonsemimartingales: stochastic differential equations and weak Dirichlet processes ⋮ Necessary and sufficient conditions for limit theorems for quadratic variations of Gaussian sequences ⋮ Infinite dimensional Ornstein-Uhlenbeck processes with unbounded diffusion - Approximation, quadratic variation, and Itô formula ⋮ Insider trading equilibrium in a market with memory ⋮ Weak Dirichlet processes and generalized martingale problems ⋮ Itô-Föllmer calculus in Banach spaces. I: The Itô formula ⋮ Strategic insider trading equilibrium: a filter theory approach ⋮ FORWARD INTEGRALS AND AN ITÔ FORMULA FOR FRACTIONAL BROWNIAN MOTION ⋮ Stochastic integration with respect to additive functionals of zero quadratic variation ⋮ The generalized Bouleau-Yor identity for a sub-fractional Brownian motion ⋮ The covariation for Banach space valued processes and applications ⋮ On stochastic calculus related to financial assets without semimartingales ⋮ Generalized covariation for Banach space valued processes, Itō formula and applications ⋮ MINIMAL VARIANCE HEDGING FOR INSIDER TRADING ⋮ Generalized covariations, local time and Stratonovich Itô's formula for fractional Brownian motion with Hurst index \(H\geq\frac 1 4\). ⋮ Information: price and impact on general welfare and optimal investment. an anticipative stochastic differential game model ⋮ Ergodic theory for SDEs with extrinsic memory ⋮ Some parabolic PDEs whose drift is an irregular random noise in space ⋮ Approximation via regularization of the local time of semimartingales and Brownian motion ⋮ An Itô-Stratonovich formula for Gaussian processes: A Riemann sums approach ⋮ Stochastic differential games in insider markets via Malliavin calculus ⋮ Some properties of the sub-fractional Brownian motion ⋮ On bifractional Brownian motion ⋮ Fractional stochastic differential equations with applications to finance ⋮ A rough path over multidimensional fractional Brownian motion with arbitrary Hurst index by Fourier normal ordering ⋮ Analysis of the Rosenblatt process ⋮ Gaussian and non-Gaussian processes of zero power variation ⋮ Optimal Smooth Portfolio Selection for an Insider ⋮ Bilinear equations in Hilbert space driven by paths of low regularity ⋮ Some Brownian local time approximations. ⋮ Stratonovich stochastic differential equation with irregular coefficients: Girsanov's example revisited ⋮ Stochastic differential equations with fractal noise ⋮ Some path properties of weighted-fractional Brownian motion ⋮ Forward and symmetric Wick-Itô integrals with respect to fractional Brownian motion ⋮ A Donsker delta functional approach to optimal insider control and applications to finance ⋮ Convergence at First and Second Order of Some Approximations of Stochastic Integrals ⋮ Donsker Type Theorem for the Rosenblatt Process and a Binary Market Model ⋮ A UNIVERSAL OPTIMAL CONSUMPTION RATE FOR AN INSIDER ⋮ UTILITY MAXIMIZATION IN AN INSIDER INFLUENCED MARKET ⋮ Stochastic calculus for fractional Brownian motion with Hurst exponent \(H>\frac 1 4 \): A rough path method by analytic extension ⋮ Optimal portfolio for an insider in a market driven by Lévy processes§ ⋮ Calculus via regularizations in Banach spaces and Kolmogorov-type path-dependent equations ⋮ Forward integrals and SDE with fractal noise ⋮ Quadratic covariations for the solution to a stochastic heat equation with space-time white noise ⋮ \(n\)-covariation, generalized Dirichlet processes and calculus with respect to finite cubic variation processes. ⋮ STOCHASTIC INTEGRATION WITH RESPECT TO THE CYLINDRICAL WIENER PROCESS VIA REGULARIZATION ⋮ Optimal convergence rate of modified milstein scheme for SDEs with rough fractional diffusions ⋮ The quadratic covariation for a weighted fractional Brownian motion ⋮ Mixed fractional stochastic differential equations with jumps
