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Elements of stochastic calculus via regularization

  • Institut Galilée
  • IECN/UHP

Research output: Chapter in Book/Report/Conference proceedingChapterpeer-review

70 Citations (Scopus)

Abstract

This paper first summarizes the foundations of stochastic calculus via regularization and constructs through this procedure Ito and Stratonovich integrals. In the second part, a survey and new results are presented in relation with finite quadratic variation processes, Dirichlet and weak Dirichlet processes.

Original languageEnglish
Title of host publicationSeminaire de Probabilites XL
PublisherSpringer Verlag
Pages147-185
Number of pages39
ISBN (Print)3540711880, 9783540711889
DOIs
Publication statusPublished - 1 Jan 2007
Externally publishedYes

Publication series

NameLecture Notes in Mathematics
Volume1899
ISSN (Print)0075-8434

Keywords

  • Covariation
  • Integration via regularization
  • Ito formula
  • Weak Dirichlet processes

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