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Results tagged with stochastic-calculus
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user 156574
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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Stochastic Analysis: proof using integral approximation
Let $t_1<t_2 \in [0,T]$, $f(t)\ge0$ and $Z_t$ an increasing process with $Z_0= 0$.
We have clearly that
\begin{equation}
\int_{[0,t_2[}f(s)dZ_s \ge \chi_{t_1<T}(Z_{t_2} - Z_{t_1})\min_{t_1\le s \le t_ …
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