Stochastic Calculus with n-Covariations

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Abstract

This chapter develops the calculus via regularizations for non-finite quadratic variation processes that have a finite n-variation for n > 2. If n = 3, those are called finite cubic variation processes. We develop some significant Itô chain rules in this context.

Original languageEnglish
Title of host publicationBocconi and Springer Series
PublisherSpringer-Verlag Italia s.r.l.
Pages557-596
Number of pages40
DOIs
Publication statusPublished - 1 Jan 2022

Publication series

NameBocconi and Springer Series
Volume11
ISSN (Print)2039-1471
ISSN (Electronic)2039-148X

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