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Volumn 25, Issue 2, 1997, Pages 997-1010

Semimartingale integral representation

Author keywords

Martingale representation; Semimartingale integral representation

Indexed keywords


EID: 0031492385     PISSN: 00911798     EISSN: None     Source Type: Journal    
DOI: 10.1214/aop/1024404427     Document Type: Article
Times cited : (10)

References (14)
  • 2
    • 0000855448 scopus 로고
    • The representation of functionals of Brownian motion by stochastic integrals
    • CLARK, J. M. C. (1970). The representation of functionals of Brownian motion by stochastic integrals. Ann. Math. Statist. 41 1282-1295.
    • (1970) Ann. Math. Statist. , vol.41 , pp. 1282-1295
    • Clark, J.M.C.1
  • 4
    • 84972528658 scopus 로고
    • Quadratic covariation and an extension of Itô's formula
    • FÖLLMER, H., PROTTER, P. and SHIRYAEV, A. N. (1995). Quadratic covariation and an extension of Itô's formula. Bernoulli 1 149-169.
    • (1995) Bernoulli , vol.1 , pp. 149-169
    • Föllmer, H.1    Protter, P.2    Shiryaev, A.N.3
  • 7
    • 0040801453 scopus 로고
    • An extension of Clark's formula
    • KARATZAS, I., OCONE, D. L. and LI, J. (1991). An extension of Clark's formula. Stochastics 37 127-131.
    • (1991) Stochastics , vol.37 , pp. 127-131
    • Karatzas, I.1    Ocone, D.L.2    Li, J.3
  • 8
    • 0003329017 scopus 로고
    • Stochastic flows and stochastic differential equations
    • KUNITA, H. (1990). Stochastic flows and stochastic differential equations. Cambridge Stud. Adv. Math. 24.
    • (1990) Cambridge Stud. Adv. Math. , vol.24
    • Kunita, H.1
  • 9
    • 0344891803 scopus 로고
    • Solving forward-backward stochastic differential equations explicitly - A four step scheme
    • MA, J., PROTTER, P. and YONG, J. (1994). Solving forward-backward stochastic differential equations explicitly - a four step scheme. Probab. Theory Related Fields 98 339-359.
    • (1994) Probab. Theory Related Fields , vol.98 , pp. 339-359
    • Ma, J.1    Protter, P.2    Yong, J.3
  • 11
    • 0003316678 scopus 로고
    • Semigroups of linear operators and applications to partial differential equations
    • PAZY, A. (1983). Semigroups of linear operators and applications to partial differential equations. Appl. Math. Sci. 44.
    • (1983) Appl. Math. Sci. , vol.44
    • Pazy, A.1
  • 12
    • 0011460753 scopus 로고
    • p stability of solutions of stochastic differential equations
    • p stability of solutions of stochastic differential equations. Z. Wahrsch. Verw. Gebiete 44 337-352.
    • (1978) Z. Wahrsch. Verw. Gebiete , vol.44 , pp. 337-352
    • Protter, P.1
  • 13
    • 0003220764 scopus 로고
    • Stochastic integration and differential equations, a new approach
    • PROTTER, P. (1990). Stochastic integration and differential equations, a new approach. Appl. Math. 21.
    • (1990) Appl. Math. , vol.21
    • Protter, P.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.