Stochastic calculus with infinitesimals

DOI10.1007/978-3-642-33149-7MaRDI QIDQ455364zbMATHOpenAlexWikidataFDO

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

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)

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