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Results tagged with stochastic-calculus
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user 156337
Stochastic calculus provides a consistent theory of integration for stochastic processes and is used to model random systems. Its applications range from statistical physics to quantitative finance.
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On the level of measure theory, what does it mean for a drift to be deterministic?
Given a drift $F\in W^{1,2}([0,T])$ adapted to the filtration of a Brownian motion $B(t)$ on Wiener space $(C[0,T],\mathcal B(\|\cdot \|_\infty)$ with Wiener measure $\mu_0$, there is another measure …
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