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Results tagged with stochastic-calculus
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user 58271
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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An identity for the exponential of a martingale
I think your last equality is true: in your notation,
$[M]^c=[M-a[M]]^c=[f(X)]^c=[f´(X_{-})\cdot X]^c=[(X_{-})^{-1} \cdot X]^c=(X_{-})^{-2} \cdot [X]^c$ using your Ito expansion of $f(X)$. Hope it hel …
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