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Stochastic Calculus

  • Paolo Baldi
Chapter
Part of the Universitext book series (UTX)

Abstract

A process admitting a stochastic differential is called an Ito process. An Ito process is therefore the sum of a process with finite variation and of a local martingale.

References

  1. Friedman, A. (1975). Stochastic Differential Equations and Applications, I and II. Academic Press, New York.Google Scholar
  2. Gallardo, L. (1981). Au sujet du contenu probabiliste d’un lemme d’Henri Poincaré. Ann. Sci. Univ. Clermont-Ferrand II Math., (19):185–190. Saint-Flour Probability Summer Schools (Saint-Flour, 1979/1980).Google Scholar

Copyright information

© Springer International Publishing AG 2017

Authors and Affiliations

  • Paolo Baldi
    • 1
  1. 1.Dipartimento di MatematicaUniversità di Roma “Tor Vergata”RomaItaly

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