stochastic calculus


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stochastic calculus

[stō′kas·tik ′kal·kyə·ləs]
(mathematics)
The mathematical theory of stochastic integrals and differentials, and its application to the study of stochastic processes.
References in periodicals archive ?
In recent years, A new symbiosis with the theory of stochastic calculus is emerging.in a few recent works, By developing a novel approach of pathwise analysis, My coauthors and i managed to make progress in several central high-dimensional problems.
Then, from (32) applying the stochastic calculus [27, 29] and (32), we obtain
Therefore, this provides an important method which is used in the proof of the existence of RPLSO, and it follows from stochastic calculus that the shadowing distance can be determined for any given ([omega], [delta])-pseudoperiodic orbit.
Absolute Continuity Under Time Shift of Trajectories and Related Stochastic Calculus
Applebaum, Levy Processes and Stochastic Calculus, vol.
We note that stochastic calculus on the so-called q-Brownian motion has been considered in [12-14].
Applebaum, Levy Processes and Stochastic Calculus, Cambridge University Press, Cambridge, UK, 2004.
In Section 11, we enlarge our free stochastic calculus of Sections 9 and 10 in terms of certain free stochastic processes generated by those of Sections 9 and 10.
Stochastic calculus with jumps is restricted to compound Poisson processes which have only a finite number of jumps on any bounded interval.
Peng, "G-Expectation, G-Brownian motion and related stochastic calculus of Ito type," in Stochastic Analysis and Applications: The Abel Symposium 2005, vol.
For H [not equal to] 0.5, it is neither a Markov process nor semimartingale, so the classical Ito's calculus cannot be used to define a fully stochastic calculus for fBm.
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