Nonlinear Stochastic Integrators, Equations and Flows

ISBN-13: 9782881247330 / Angielski / Twarda / 1990 / 160 str.

R. Carmona;David Nualart

Opis

This monograph aims to present and develop a general theory of stochastic integration where the integral is a non-linear function of the integrand. A discussion of the theory and corresponding stochastic calculus is given, providing a generalization of the works of Sznitman on L2-martingales, Le Jan and Watanabe on smooth martingales and Futjiwara and Kunita on the integral with respect to Levy processes.

Spis treści

Introduction, Nonlinear Stochastic Integrators, Stochastic Calculus, Dependence on the initial Conditions and Flows.

O autorze

Rene A. Carmona, University of California, David ualart Universitat de Barcelona, Spain.