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Un crochet non-symétrique en calcul stochastique anticipatif

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Stochastic Analysis and Related Topics II

Part of the book series: Lecture Notes in Mathematics ((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.

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Authors and Affiliations

  1. Université de PROVENCE, 3 Place Victor HUGO, 13331, Marseille

    Axel Grorud

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  1. Axel Grorud
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Hayri Korezlioglu Ali Suleyman Ustunel

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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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  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-540-53064-0

  • Online ISBN: 978-3-540-46596-6

  • eBook Packages: Springer Book Archive

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