A Differentiation Theory for Itô's Calculus

DOI10.1080/07362990500522411zbMath1100.60027arXiv1005.4357OpenAlexW3101215792MaRDI QIDQ5488650

Hassan Allouba

Publication date: 22 September 2006

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

Full work available at URL: https://arxiv.org/abs/1005.4357

zbMATH Keywords

stochastic calculusSPDEsstochastic derivativeSDEs

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Generalized stochastic processes (60G20) Stochastic integrals (60H05) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Foundations of stochastic processes (60G05)

Related Items

The Burgers equations and the Born rule ⋮ Infinite-dimensional measure spaces and frame analysis ⋮ An extension of the Clark–Haussmann formula and applications ⋮ Itô stochastic differentials ⋮ Applications of the Quadratic Covariation Differentiation Theory: Variants of the Clark-Ocone and Stroock's Formulas

Cites Work

• Linear Fourier and stochastic analysis
• Stochastic integral
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