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Continuous Semimartingales

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

Abstract

In this chapter, we will consider continuous semimartingales and show that stochastic differential equations driven by these can be analysed essentially using the same techniques as in the case of SDE driven by Brownian motion. This can be done using random time change. The use of random time change in study of solutions to stochastic differential equations was introduced in Karandikar, pathwise stochastic calculus of continuous semimartingales, 1981, [33], Karandikar, Sankhya A, 43:121–132, 1981, [34].

Keywords

Continuous Semimartingale Random Time Change Karandikar Brownian Motion Case Stochastic Differential Equations 
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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