Stochastic Calculus with Infinitesimals

Volume 2067 of the series Lecture Notes in Mathematics pp 61-70


A Radically Elementary Theory of Itô Diffusions and Associated Partial Differential Equations

  • Frederik S. HerzbergAffiliated withInstitute of Mathematical Economics, Bielefeld UniversityMunich Center for Mathematical Philosophy, Ludwig Maximilian University of Munich

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Let \({t}_{0} \in \mathbf{T} \setminus \{ 1\}\) and \(a,b : \mathbf{R} \times [0,1] \rightarrow \mathbf{R}\).