A random walk analogue of Lévy’s Theorem

DOI10.1556/SSCMATH.45.2008.2.50MaRDI QIDQ5322352zbMATHFDO

Authors Takahiko Fujita, Yasuhiro Kawanishi

Publication date 20 July 2009

Published in Studia Scientiarum Mathematicarum Hungarica (Search for Journal in Brave)

zbMATH Keywords

Brownian motionsymmetric random walkItô's formula

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Brownian motion (60J65) Stochastic integrals (60H05)

Recommendations

• scientific article; zbMATH DE number 4201285
• Towards the validity of Itō's formula for discontinuous functions
• scientific article; zbMATH DE number 1619472
• A remark on the proof of Itô's formula for C² functions of continuous semimartingales
• A remark on Itō formula of complex Brownian functionals

Cited in

(7)

• A DISCRETE-TIME ITÔ'S FORMULA
• A note on the optimal portfolio problem in discrete processes
• Determinantal martingales and correlations of noncolliding random walks
• On an asymptotic viscosity solution property of solutions of discrete Hamilton-Jacobi-Bellman equations
• scientific article; zbMATH DE number 6687650 (Why is no real title available?)
• A discrete Itō calculus approach to He's framework for multi-factor discrete markets
• On the convergence of discrete processes with multiple independent variables

This page was built for publication: A random walk analogue of Lévy’s Theorem

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5322352)