2009•Mathematical FinanceRequires access
Stochastic or Itô Calculus
Jacques Janssen, Raimondo Manca, Ernesto Volpe di Prignano
Open publisher page 0 citations
Abstract
This chapter contains sections titled: Problem of stochastic integration Stochastic integration of simple predictable processes and semi-martingales General definition of the stochastic integral Itô's formula Stochastic integral with standard Brownian motion as integrator process Stochastic differentiation Back to Itô's formula Stochastic differential equations Diffusion processes