An approach to the stochastic calculus in the non-Gaussian case

Andrey A. Dorogovtsev

International Journal of Stochastic Analysis, 1995, vol. 8, 1-10

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.

Date: 1995
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnijsa:969024

DOI: 10.1155/S1048953395000323

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