Lecture Notes on Stochastic Calculus (Part II)
نویسندگان
چکیده
2 Ito-Doeblin’s formula(s) 7 2.1 First formulations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7 2.2 Generalizations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7 2.3 Continuous semi-martingales . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8 2.4 Integration by parts formula . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9 2.5 Back to Fisk-Stratonovič’s integral . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10
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