An approach to the stochastic calculus in the non-Gaussian case. (1995)

• Record Type: Journal Article
• Authors: Dorogovtsev, Andrey A.
• Is Part Of: Journal of applied mathematics and stochastic analysis. Volume 8:Number 4(1995)
• Page Start: 361
• Page End: 370
• Publication Date: 1995
• Subjects: non-Gaussian stochastic process -- stochastic integral -- stochastic derivative -- Itô's formula; Mathematical models -- Periodicals; Computer simulation -- Periodicals; Computer science -- Mathematics -- Periodicals; Computer science -- Mathematics; Computer simulation; Mathematical models; Applied Mathematics; Periodicals; Electronic journals; 519.22
• DOI: 10.1155/S1048953395000323
• Languages: English
• ISSNs: 1048-9533

Abstract

Abstract : We introduce and study a class of operators of stochastic differentiation and integration for non-Gaussian processes. As an application, we establish an analog of the Itô formula.