Set-Indexed Itô Calculus Along Paths

DOI10.1081/SAP-120037630MaRDI QIDQ4826130zbMATH OpenFDO

Authors Giacomo Aletti, Diane Saada

Publication date 11 November 2004

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

Full work available at URL https://doi.org/10.1081/SAP-120037630

zbMATH Keywords

bracketdimension reductionlocal timemain flowmartingaleset-indexed processes

Mathematics Subject Classification ID

General theory of stochastic processes (60G07) Gaussian processes (60G15) Martingales with continuous parameter (60G44) Stochastic integrals (60H05) Local time and additive functionals (60J55) Brownian motion (60J65)

Review text

The paper presents a thorough study of set-indexed Gaussian processes. The main purpose is to develop an Itô calculus for such processes, and to study the associated martingale properties. The parameter of these processes belongs to an indexing collection of subsets of a topological space. In order to reduce the dimension, a new tool, called the main flow, is introduced. This allows for the embedding of standard one-parameter processes in the set-indexed processes, and hence for the development of a stochastic calculus. An Itô formula is provided, and the interplay with martingales is described in detail. The martingales thus generated take a surprising form. Finally the authors introduce the bracket and a local time for the developed stochastic calculus. The paper discusses many measurability properties of the indexing collection of subsets. Furthermore, a construction of a set-indexed Brownian process is also provided. This makes the paper rather self-contained.

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Cites work

• Characterization of spatial Poisson process along optional increasing paths. A problem of dimension's reduction
• scientific article; zbMATH DE number 1348602 (Why is no real title available?)
• scientific article; zbMATH DE number 699423 (Why is no real title available?)
• Martingales and stochastic integrals for processes with a multi-dimensional parameter
• Probability with Martingales
• Random censoring in set-indexed survival analysis
• Reduction of dimension for spatial point processes and right continuous martingales
• Stochastic birth-and-growth processes modelling crystallization of polymers with spatially heterogeneous parameters
• Stochastic integrals in the plane

Cited in

(4)

• Set indexed strong martingales and path independent variation
• Set-indexed Brownian motion on increasing paths
• Path dependent optimal transport and model calibration on exotic derivatives
• The set-indexed Itô integral

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