The Ito calculus: a vector-integral approach
The Itô calculus is the theory of stochastic integrals ∫<sup>t</sup><sub>0</sub> X<sub>u</sub> dS<sub>u</sub>, where S is a semimartingale, and X is a suitable previsible process. The approach most commonly given in the literature is the ‘Strasbourg ap...
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| Format: | Thesis |
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1989
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