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Itō calculus · Vinony

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Itō calculus

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calculus of stochastic differential equations

Connections

stochastic calculus

stochastic process

queueing theory

Black–Scholes model

Poisson process

partition of an interval

càdlàg function

Lebesgue–Stieltjes integration

optional stopping theorem

quadratic variation

International Standard Book Number

Wayback Machine

digital object identifier

Categories

Definitions of mathematical integration Integral calculus Mathematical finance Stochastic calculus

Sources

wikipedia.externallinksexternallink

What links here276 pages

Fractional Brownian motion

Stratonovich integral

stochastic differential equation

Geometric Brownian motion

local martingale

Feynman–Kac formula

Schramm–Loewner evolution

càdlàg function

Kolmogorov extension theorem

Girsanov theorem

Branching process

Reflection principle

Predictable process

uniform integrability

additive process

Black–Scholes model

extreme value theory

Empirical process

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Category:Stochastic differential equations

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quadratic variation

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Maxwell relations

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variation of parameters

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Stochastic programming

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differential algebra

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operational calculus

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