کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
10527313 | 958817 | 2015 | 37 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
A generalised ItÅ formula for Lévy-driven Volterra processes
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موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
ریاضیات (عمومی)
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
We derive a generalised ItÅ formula for stochastic processes which are constructed by a convolution of a deterministic kernel with a centred Lévy process. This formula has a unifying character in the sense that it contains the classical ItÅ formula for Lévy processes as well as recent change-of-variable formulas for Gaussian processes such as fractional Brownian motion as special cases. Our result also covers fractional Lévy processes (with Mandelbrot-Van Ness kernel) and a wide class of related processes for which such a generalised ItÅ formula has not yet been available in the literature.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Stochastic Processes and their Applications - Volume 125, Issue 8, August 2015, Pages 2989-3022
Journal: Stochastic Processes and their Applications - Volume 125, Issue 8, August 2015, Pages 2989-3022
نویسندگان
Christian Bender, Robert Knobloch, Philip Oberacker,