Multidimensional Wick-Itô Formula for Gaussian Processes

2011 ◽  
pp. 3-26
Author(s):  
D. Nualart ◽  
S. Ortiz-Latorre
Keyword(s):  
Gaussian Processes ◽  
Itô Formula ◽  
Ito Formula

scholarly journals An approach to the stochastic calculus in the non-Gaussian case

1995 ◽  
Vol 8 (4) ◽  
pp. 361-370 ◽  
Author(s):  
Andrey A. Dorogovtsev
Keyword(s):  
Gaussian Processes ◽  
Stochastic Calculus ◽  
Itô Formula ◽  
Ito Formula ◽  
Gaussian Case ◽  
Non Gaussian

We introduce and study a class of operators of stochastic differentiation and integration for non-Gaussian processes. As an application, we establish an analog of the Itô formula.

Wick-Itô Formula for Gaussian Processes

2006 ◽  
Vol 24 (3) ◽  
pp. 599-614 ◽  
Author(s):  
David Nualart ◽  
Murad S. Taqqu
Keyword(s):  
Gaussian Processes ◽  
Itô Formula ◽  
Ito Formula

scholarly journals A generalization of the Itô formula

2002 ◽  
Vol 31 (8) ◽  
pp. 477-496
Author(s):  
Said Ngobi
Keyword(s):  
Sobolev Space ◽  
White Noise ◽  
Itô Formula ◽  
Ito Formula ◽  
Integrable Functions ◽  
Square Integrable Functions ◽  
White Noise Space

The classical Itô formula is generalized to some anticipating processes. The processes we consider are in a Sobolev space which is a subset of the space of square integrable functions over a white noise space. The proof of the result uses white noise techniques.

An Ito formula for domain-valued processes driven by stochastic flows

2002 ◽  
Vol 124 (1) ◽  
pp. 73-99 ◽  
Author(s):  
Kimberly Kinateder ◽  
Patrick McDonald
Keyword(s):  
Stochastic Flows ◽  
Itô Formula ◽  
Ito Formula

The Ito Formula

1983 ◽  
pp. 85-103
Author(s):  
K. L. Chung ◽  
R. J. Williams
Keyword(s):  
Itô Formula ◽  
Ito Formula

scholarly journals Itô Formula for Free Stochastic Integrals

2002 ◽  
Vol 188 (1) ◽  
pp. 292-315 ◽  
Author(s):  
Michael Anshelevich
Keyword(s):  
Stochastic Integrals ◽  
Itô Formula ◽  
Ito Formula
Sign in / Sign up

Export Citation Format

Share Document