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Un crochet non-symétrique en calcul stochastique anticipatif

Part of the Lecture Notes in Mathematics book series (LNM,volume 1444)

Résumé

Nous définissons un crochet qui généralise le crochet de variation quadratique de deux semi-martingales au cas de certains processus qui ne sont pas nécessairement adaptés au processus de Wiener intégrateur. Ce crochet permet d’écrire de manière plus concise la formule d’Itô et aussi de retrouver une formule de correction Itô-Stratonovitch.

Keywords

  • Stochastic Differential Equation
  • Stochastic Integral
  • Stochastic Calculus
  • Malliavin Calculus
  • Wiener Integrateur

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© 1990 Springer-Verlag

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Grorud, A. (1990). Un crochet non-symétrique en calcul stochastique anticipatif. In: Korezlioglu, H., Ustunel, A.S. (eds) Stochastic Analysis and Related Topics II. Lecture Notes in Mathematics, vol 1444. Springer, Berlin, Heidelberg. https://doi.org/10.1007/BFb0083615

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  • DOI: https://doi.org/10.1007/BFb0083615

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  • Print ISBN: 978-3-540-53064-0

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