Itô's stochastic calculus: its surprising power for applications

DOI10.1016/j.spa.2010.01.013zbMath1202.60079OpenAlexW2061317694MaRDI QIDQ972809

Hiroshi Kunita

Publication date: 21 May 2010

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

Full work available at URL: https://doi.org/10.1016/j.spa.2010.01.013

zbMATH Keywords

Black-ScholesSDESemimartingaleCompensated Poisson RandomItô Jump ProcessItô's FormulaLévy-Itô-DecompositionMerton's Equation MeasureStochastic Differential EquationStochastic Integration

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) History of mathematics in the 20th century (01A60) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Stochastic integrals (60H05) History of probability theory (60-03)

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