scholarly journals The Itô formula for a new stochastic integral

2012 ◽  
Vol 6 (4) ◽  
Author(s):  
Hui-Hsiung Kuo ◽  
Anuwat Sae-Tang ◽  
Benedykt Szozda
Keyword(s):  
Stochastic Integral ◽  
Itô Formula ◽  
Ito Formula

Stochastic Integrals

2019 ◽  
pp. 43-66
Author(s):  
Tomas Björk
Keyword(s):  
Wiener Process ◽  
Stochastic Integral ◽  
Stochastic Integrals ◽  
Itô Formula ◽  
Martingale Theory ◽  
Ito Formula

We introduce the Wiener process, the Itô stochastic integral, and derive the Itô formula. The connection with martingale theory is discussed, and there are several worked-out examples

Itô stochastic integral. Itô formula. Tanaka formula

2009 ◽  
pp. 193-213
Author(s):  
Dmytro Gusak ◽  
Alexander Kukush ◽  
Alexey Kulik ◽  
Yuliya Mishura ◽  
Andrey Pilipenko
Keyword(s):  
Stochastic Integral ◽  
Itô Formula ◽  
Ito Formula ◽  
Tanaka Formula

On the Ito formula in a Banach Space

2000 ◽  
Vol 7 (1) ◽  
pp. 155-168
Author(s):  
B. Mamporia
Keyword(s):  
Banach Space ◽  
Continuous Function ◽  
Wiener Process ◽  
Separable Banach Space ◽  
Stochastic Integral ◽  
Covariance Operator ◽  
Itô Formula ◽  
Ito Formula ◽  
Special Construction ◽  
Frechet Derivatives

Abstract If (Wt ) t∈[ 0, 1] is a Wiener process in an arbitrary separable Banach space X, ψ : [0, 1] × X → Y is a continuous function with values in another separable Banach space, and ψ has continuous Frechet derivatives , and , then the Ito formula is obtained for ψ(t, Wt ). The method is based on the concept of covariance operator and a special construction of the Ito stochastic integral.

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