LNM, Issue 40Springer-Verlag, 2007 - Probabilities Contents of 1-14 (1966/67-1978/79) in v. 15 (1979/80). |
Contents
An Introduction to Stochastic Calculus with Respect | 3 |
A ChangeofVariable Formula with Local Time on Surfaces | 69 |
A Note on a Change of Variable Formula with Local | 97 |
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apply arbitrage pricing assumption Berlin Heidelberg bounded variation càdlàg consider constant continuous function converges Corollary covariation defined Definition denote derivative differential equations Dirichlet process exists fair price filtration finite fractional Brownian motion function f G-regular Gaussian given Heidelberg New York Hence Hölder Hölder continuous implies inequality inf{t integration with respect interval Itô formula Itô's kernel Lecture Notes Lemma Let us prove Lévy processes linear local martingale locally bounded martingale Math Mathematics measure Q NGA condition notation obtain optimal stopping optimal stopping problem paths Peskir probability measure Proposition quadratic variation random variable Remark result risk-neutral measure Section semimartingale Séminaire de Probabilités sequence solution Springer stochastic calculus stochastic integral Suppose theory ti+1 transaction costs WH(t