A Differentiation Theory for Itô's Calculus

DOI10.1080/07362990500522411zbMATH Open1100.60027arXiv1005.4357OpenAlexW3101215792MaRDI QIDQ5488650FDOQ5488650

Authors: Hassan Allouba 

Publication date: 22 September 2006

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

Abstract: A peculiar feature of It^o's calculus is that it is an integral calculus that gives no explicit derivative with a systematic differentiation theory counterpart, as in elementary calculus. So, can we define a pathwise stochastic derivative of semimartingales with respect to Brownian motion that leads to a differentiation theory counterpart to It^o's integral calculus? From It^o's definition of his integral, such a derivative must be based on the quadratic covariation process. We give such a derivative in this note and we show that it leads to a fundamental theorem of stochastic calculus, a generalized stochastic chain rule that includes the case of convex functions acting on continuous semimartingales, and the stochastic mean value and Rolle's theorems. In addition, it interacts with basic algebraic operations on semimartingales similarly to the way the deterministic derivative does on deterministic functions, making it natural for computations. Such a differentiation theory leads to many interesting applications some of which we address in an upcoming article.

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

Recommendations

• Functional Itō calculus and stochastic integral representation of martingales
• scientific article; zbMATH DE number 3919477
• Itô's stochastic calculus: its surprising power for applications
• Itô's stochastic calculus and its applications
• A functional extension of the Ito formula

zbMATH Keywords

SPDEsstochastic calculusstochastic derivativeSDEs

Mathematics Subject Classification ID

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

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Stochastic integral
• Linear Fourier and stochastic analysis

Cited In (7)

• An extension of the Clark–Haussmann formula and applications
• Qu'est ce qu'une différentielle d'ordre n? (What is a differential of order n?)
• The Burgers equations and the Born rule
• Applications of the Quadratic Covariation Differentiation Theory: Variants of the Clark-Ocone and Stroock's Formulas
• Itô stochastic differentials
• An Extension of Ito’s Differentiation Formula
• Infinite-dimensional measure spaces and frame analysis

This page was built for publication: A Differentiation Theory for Itô's Calculus

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5488650)