Stochastic Calculus for a Time-Changed Semimartingale and the Associated Stochastic Differential Equations
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چکیده
منابع مشابه
Stochastic Calculus for a Time-changed Semimartingale and the Associated Stochastic Differential Equations
It is shown that under a certain condition on a semimartingale and a time-change, any stochastic integral driven by the time-changed semimartingale is a time-changed stochastic integral driven by the original semimartingale. As a direct consequence, a specialized form of the Itô formula is derived. When a standard Brownian motion is the original semimartingale, classical Itô stochastic differen...
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ژورنال
عنوان ژورنال: Journal of Theoretical Probability
سال: 2010
ISSN: 0894-9840,1572-9230
DOI: 10.1007/s10959-010-0320-9