Quadratic covariation estimates in non-smooth stochastic calculus

DOI10.1016/j.spa.2014.09.005zbMath1321.60112OpenAlexW2041321721MaRDI QIDQ468746

Sergio Angel Almada Monter

Publication date: 7 November 2014

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2014.09.005

zbMATH Keywords

Brownian motionlarge deviationsquadratic covariationnon-smooth Itō's formulanon-smooth stochastic calculus

Mathematics Subject Classification ID

Brownian motion (60J65) Martingales with continuous parameter (60G44) Large deviations (60F10) Stochastic integrals (60H05)

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