Elements of Stochastic Calculus via Regularisation
概率论
2007-05-23 v1
摘要
This paper first summarizes the foundations of stochastic calculus via regularization and constructs through this procedure It\^o and Stratonovich integrals. In the second part, a survey and new results are presented in relation with finite quadratic variation processes, Dirichlet and weak Dirichlet processes.
引用
@article{arxiv.math/0603224,
title = {Elements of Stochastic Calculus via Regularisation},
author = {Francesco Russo and Pierre Vallois},
journal= {arXiv preprint arXiv:math/0603224},
year = {2007}
}
备注
39 pages. First version. Preprint LAGA-Paris 13 2004-28. To appear: S\'eminaire de Probabilit\'es