A generalized Itô's formula in two-dimensions and stochastic Lebesgue-Stieltjes integrals.

Feng, Chunrong; Zhao, Huaizhong

Electronic Journal of Probability [electronic only] (2007)

  • Volume: 12, page 1568-1599
  • ISSN: 1083-589X

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Feng, Chunrong, and Zhao, Huaizhong. "A generalized Itô's formula in two-dimensions and stochastic Lebesgue-Stieltjes integrals.." Electronic Journal of Probability [electronic only] 12 (2007): 1568-1599. <http://eudml.org/doc/233674>.

@article{Feng2007,
author = {Feng, Chunrong, Zhao, Huaizhong},
journal = {Electronic Journal of Probability [electronic only]},
keywords = {local time; continuous semimartingale; generalized Itô's formula; stochastic Lebesgue-Stieltjes integral; generalized Itô’s formula},
language = {eng},
pages = {1568-1599},
publisher = {University of Washington, Department of Mathematics, Seattle, WA; Duke University, Department of Mathematics, Durham},
title = {A generalized Itô's formula in two-dimensions and stochastic Lebesgue-Stieltjes integrals.},
url = {http://eudml.org/doc/233674},
volume = {12},
year = {2007},
}

TY - JOUR
AU - Feng, Chunrong
AU - Zhao, Huaizhong
TI - A generalized Itô's formula in two-dimensions and stochastic Lebesgue-Stieltjes integrals.
JO - Electronic Journal of Probability [electronic only]
PY - 2007
PB - University of Washington, Department of Mathematics, Seattle, WA; Duke University, Department of Mathematics, Durham
VL - 12
SP - 1568
EP - 1599
LA - eng
KW - local time; continuous semimartingale; generalized Itô's formula; stochastic Lebesgue-Stieltjes integral; generalized Itô’s formula
UR - http://eudml.org/doc/233674
ER -

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