Quadratic covariation and Itô's formula for smooth nondegenerate martingales
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Publication:5918054
DOI10.1023/A:1007791027791zbMath0949.60065OpenAlexW190613723MaRDI QIDQ5918054
Publication date: 3 December 2000
Published in: Journal of Theoretical Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1023/a:1007791027791
Related Items (10)
Generalized integration and stochastic ODEs ⋮ Generalization of Itô's formula for smooth nondegenerate martingales. ⋮ Integration with respect to local time and Itô's formula for smooth nondegenerate martingales ⋮ Weak Dirichlet processes with a stochastic control perspective ⋮ The quadratic variation for mixed-fractional Brownian motion ⋮ The generalized quadratic covariation for fractional Brownian motion with Hurst index less than 1/2 ⋮ The generalized Bouleau-Yor identity for a sub-fractional Brownian motion ⋮ Integration with respect to the \(G\)-Brownian local time ⋮ Temporal variation for fractional heat equations with additive white noise ⋮ Integration with respect to fractional local time with Hurst index \(1/2 < \text H < 1\)
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