Article ID Journal Published Year Pages File Type
5129828 Statistics & Probability Letters 2017 8 Pages PDF
Abstract

Elements of the stochastic calculus of optional semimartingales are presented. A solution of the nonhomogeneous and general linear stochastic equations is given in this framework. Also, the Gronwall inequality is derived. Furthermore, a theory of martingale transforms and examples of applications to mathematical finance are presented.

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Related Topics
Physical Sciences and Engineering Mathematics Statistics and Probability
Preview
On linear stochastic equations of optional semimartingales and their applications
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