Stochastic calculus with infinitesimals

DOI10.1007/978-3-642-33149-7zbMATH Open1302.60006OpenAlexW114009121WikidataQ57542972 ScholiaQ57542972MaRDI QIDQ455364FDOQ455364

Authors: Frederik S. Herzberg 

Publication date: 5 October 2012

Published in: Lecture Notes in Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-33149-7

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zbMATH Keywords

fundamental theorem of asset pricingmathematical financestochastic analysisnonstandard analysisGirsanov change of measuresinfinitesimal definition of Feynman's path integralminimal internal set theoryLévy processesItō formula

Mathematics Subject Classification ID

Introductory exposition (textbooks, tutorial papers, etc.) pertaining to probability theory (60-01) Axioms; other general questions in probability (60A05) Nonstandard models in mathematics (03H05)

Cited In (18)

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• Near equivalence on metric spaces and a nonstandard central limit theorem
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• Generalized Feynman path integrals and applications to higher-order heat-type equations
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