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Results tagged with stochastic-calculus
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user 69642
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.
2
votes
Isometry for the stochastic integral wrt fractional Brownian motion for random processes
Regarding the link between stochastic integral wrt fractional Brownian motion and stochastic integral wrt Brownian motion, this is the content of Proposition 5.2.2 of the book "The Malliavin calculus …
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2
votes
Existence of strong solution to SDEs with non-Lipschitzian drift
Another approach for this problem has been developped in "Construction of strong solutions of SDE's via Malliavin calculus" by T. Meyer-Brandis and F. Proske. It has been further developped and extend …
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3
votes
PDE-oriented textbook on probability and random processes?
Maybe, you can have a look at this book:
Second order PDE’s in finite and infinite dimensions. A probabilistic approach, S. Cerrai
In many classical text books in probability, there are one or two c …
- 778
1
vote
Multiple Wiener-Ito integral distribution
Below some references regarding distributional properties of Wiener chaoses
The book, Gaussian Hilbert spaces, by S. Janson, is a standard reference to start with. In particular, you might want to r …
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