Advertisement

Stochastic integration and Itô’s formula

  • Peter K. Friz
  • Martin Hairer
Chapter
  • 193 Downloads
Part of the Universitext book series (UTX)

Abstract

In this chapter, we compare the integration theory developed in the previous chapter to the usual theories of stochastic integration, be it in the Itˆo or the Stratonovich sense.

Preview

Unable to display preview. Download preview PDF.

Unable to display preview. Download preview PDF.

Copyright information

© Springer Nature Switzerland AG 2020

Authors and Affiliations

  • Peter K. Friz
    • 1
    • 3
  • Martin Hairer
    • 2
  1. 1.Institut für MathematikTechnische Universität BerlinBerlinGermany
  2. 2.Department of MathematicsImperial College LondonLondonUK
  3. 3.Weierstraß-Institut für Angewandte Analysis und StochastikBerlinGermany

Personalised recommendations