Sample path properties of stochastic integrals, and stochastic differentiation

DOI10.1080/17442508908833579MaRDI QIDQ3031723zbMATH OpenOpenAlexFDO

Authors Martin T. Barlow, Edwin Perkins

Publication date 1989

Published in Stochastics and Stochastic Reports (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/17442508908833579

zbMATH Keywords

Brownian motionestimate for the remainder in the first-order Taylor expansionmodulus of continuitypathwise uniquenessstochastic differentiationstochastic integral

Mathematics Subject Classification ID

Sample path properties (60G17) Stochastic integrals (60H05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65)

Recommendations

• Regularity properties of some stochastic Volterra integrals with singular kernel
• On pathwise stochastic integration
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• Existence of a singular integral with Brown motion
• Stochastic integrations with respect to Brownian motion

Cites work

• A conditioned limit theorem for random walk and Brownian local time on square root boundaries
• Decomposing the Brownian path
• scientific article; zbMATH DE number 4159794 (Why is no real title available?)
• On tail probabilities for martingales
• One-dimensional Brownian motion and the three-dimensional Bessel process
• Regularity of irregularities on a Brownian path
• Skew brownian motion and a one dimensional stochastic differential equation
• Stochastic Integrals and Derivatives

Cited in

(4)

• Quasi-integrals and stochastic integration along sample paths
• Stochastic integral representations, stochastic derivatives and minimal variance hedging
• Brownian Motion at a Slow Point
• scientific article; zbMATH DE number 2020339 (Why is no real title available?)

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