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Results tagged with stochastic-calculus
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user 371842
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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Integral over a Markov process
I have the following questions:
Let $Z$ be a continuous one-dimensional Markov process on some probability space $(\Omega,\mathcal{F},\mathbb{P})$ and $\mathcal{F}_t = \sigma(Z_s,s \leq t)$. Then show …
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Canonical Markov process and abstract Markov process
I have the following question:
Why do some books work with the canonical Markov process instead of just the abstract one, as from my point of view they both share exactly the same properties in terms …