An approach to the stochastic calculus in the non-Gaussian case.

Dorogovtsev, Andrej A.

Displaying similar documents to “An approach to the stochastic calculus in the non-Gaussian case.”

Introduction to the Theory of the It $\hat{o}$ -type Stochastic Integrals and Stochastic Differential Equations

Svetlana Janković (1998)

Zbornik Radova

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Regularity of solutions to stochastic Volterra equations

Anna Karczewska, Jerzy Zabczyk (2000)

Atti della Accademia Nazionale dei Lincei. Classe di Scienze Fisiche, Matematiche e Naturali. Rendiconti Lincei. Matematica e Applicazioni

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We study regularity of stochastic convolutions solving Volterra equations on $R^{d}$ driven by a spatially homogeneous Wiener process. General results are applied to stochastic parabolic equations with fractional powers of Laplacian.

Modelling Real World Using Stochastic Processes and Filtration

Peter Jaeger (2016)

Formalized Mathematics

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First we give an implementation in Mizar [2] basic important definitions of stochastic finance, i.e. filtration ([9], pp. 183 and 185), adapted stochastic process ([9], p. 185) and predictable stochastic process ([6], p. 224). Second we give some concrete formalization and verification to real world examples. In article [8] we started to define random variables for a similar presentation to the book [6]. Here we continue this study. Next we define the stochastic process. For further...

Existence of solutions of nonlinear stochastic Volterra Fredholm integral equations of mixed type.

Balachandran, K., Kim, J.-H. (2010)

International Journal of Mathematics and Mathematical Sciences

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Semimartingale measure in the investigation of Stratonovich-type stochastic integrals and inclusions

Joachim Syga (2015)

Discussiones Mathematicae Probability and Statistics

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A random measure associated to a semimartingale is introduced. We use it to investigate properties of several types of stochastic integrals and properties of the solution set of Stratonovich-type stochastic inclusion.