Simplified stochastic calculus via semimartingale representations
| Autor: | Johannes Ruf, Aleš Černý |
|---|---|
| Jazyk: | angličtina |
| Rok vydání: | 2022 |
| Předmět: |
Statistics and Probability
History Polymers and Plastics Computer science Stochastic calculus HG Industrial and Manufacturing Engineering FOS: Economics and business Calculus medicine FOS: Mathematics QA Mathematics Business and International Management 60G07 60G44 60G48 60H05 60H05 QA Calculus (medicine) Stochastic process Probability (math.PR) medicine.disease Mathematical Finance (q-fin.MF) Semimartingale Quantitative Finance - Mathematical Finance Variety (universal algebra) Itō's lemma Statistics Probability and Uncertainty Mathematics - Probability |
| ISSN: | 1083-6489 |
| Popis: | We develop a stochastic calculus that makes it easy to capture a variety of predictable transformations of semimartingales such as changes of variables, stochastic integrals, and their compositions. The framework offers a unified treatment of real-valued and complex-valued semimartingales. The proposed calculus is a blueprint for the derivation of new relationships among stochastic processes with specific examples provided below. 32 pages; updated references; fixed a small typo in proof of T3.17 |
| Databáze: | OpenAIRE |
| Externí odkaz: |
|