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Pathwise Formula for the Stochastic Integral

Chapter
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Part of the Indian Statistical Institute Series book series (INSIS)

Abstract

In the previous chapter, we had obtained a pathwise formula for the quadratic variation of a martingale. We will show in this chapter that the same formula yields the quadratic variation of a semimartingale. We will also obtain a pathwise formula for the stochastic integral.

Keywords

Stochastic Integral Semimartingale Quadratic Variation Simple Predictable Processes Pathwise Version 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

Copyright information

© Springer Nature Singapore Pte Ltd. 2018

Authors and Affiliations

  1. 1.Chennai Mathematical InstituteSiruseriIndia

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