Elements of Stochastic Calculus via Regularisation - Archive ouverte HAL
Article Dans Une Revue Séminaire de Probabilités Année : 2007

Elements of Stochastic Calculus via Regularisation

Résumé

This paper first summarizes the foundations of stochastic calculus via regularization and constructs through this procedure Itô 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.

Dates et versions

hal-00020443 , version 1 (10-03-2006)

Identifiants

Citer

Francesco Russo, Pierre Vallois. Elements of Stochastic Calculus via Regularisation. Séminaire de Probabilités, 2007, 1899-2007, pp.147-185. ⟨10.1007/978-3-540-71189-6_7⟩. ⟨hal-00020443⟩
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