Wasserstein Distance Estimates for Stochastic Integrals by Forward-Backward Stochastic Calculus

2020 ◽  
Author(s):  
Jean-Christophe Breton ◽  
Nicolas Privault
Keyword(s):  
Wasserstein Distance ◽  
Stochastic Calculus ◽  
Stochastic Integrals

Some New Examples of Lie Super-Algebra Representations Arising from Quantum Stochastic Calculus

1998 ◽  
Vol 01 (01) ◽  
pp. 33-42
Author(s):  
K. R. Parthasarathy
Keyword(s):  
Stochastic Calculus ◽  
Stochastic Integrals ◽  
Quantum Stochastic Calculus

Following the methods of Refs. 1 and 2 we construct here a family of Lie super-algebra representations in terms of quantum stochastic integrals.

Pricing via anticipative stochastic calculus

1994 ◽  
Vol 26 (04) ◽  
pp. 1006-1021
Author(s):  
Eckhard Platen ◽  
Rolando Rebolledo
Keyword(s):  
Structural Properties ◽  
General Model ◽  
Stochastic Calculus ◽  
Stochastic Equations ◽  
Stochastic Integrals ◽  
Derivative Securities

The paper proposes a general model for pricing of derivative securities. The underlying dynamics follows stochastic equations involving anticipative stochastic integrals. These equations are solved explicitly and structural properties of solutions are studied.

Wick Calculus of Generalized Operators and its Applications to Quantum Stochastic Calculus

1998 ◽  
Vol 01 (03) ◽  
pp. 455-466 ◽  
Author(s):  
Zhiyuan Huang ◽  
Shunlong Luo
Keyword(s):  
Differential Equations ◽  
White Noise ◽  
Stochastic Analysis ◽  
Stochastic Calculus ◽  
Stochastic Integrals ◽  
Algebra Structure ◽  
Quantum Stochastic Calculus ◽  
Fundamental Properties ◽  
White Noise Calculus ◽  
Wick Calculus

A nonlinear and stochastic analysis of free Bose field is established in the framework of white noise calculus. Wick algebra structure is introduced in the space of generalized operators generated by quantum white noise, some fundamental properties of the calculus based on the Wick algebra are investigated. As applications, quantum stochastic integrals and quantum stochastic differential equations are treated from the viewpoint of Wick calculus.

Pricing via anticipative stochastic calculus

1994 ◽  
Vol 26 (4) ◽  
pp. 1006-1021
Author(s):  
Eckhard Platen ◽  
Rolando Rebolledo
Keyword(s):  
Structural Properties ◽  
General Model ◽  
Stochastic Calculus ◽  
Stochastic Equations ◽  
Stochastic Integrals ◽  
Derivative Securities

The paper proposes a general model for pricing of derivative securities. The underlying dynamics follows stochastic equations involving anticipative stochastic integrals. These equations are solved explicitly and structural properties of solutions are studied.

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