English-Russian Dictionary on Probability, Statistics, and Combinatorics. — Philadelphia and Moscow. Society for Industrial and Applied Mathematics and TVP Science Publishers. K. A. Borovkov. 1994.
Semimartingale — In probability theory, a real valued process X is called a semimartingale if it can be decomposed as the sum of a local martingale and an adapted finite variation process.Semimartingales are good integrators , forming the largest class of… … Wikipedia
Semimartingale — Als Semimartingale werden in der Stochastik bestimmte Prozesse bezeichnet, die insbesondere für die Definition eines allgemeinen stochastischen Integrals von Bedeutung sind. Die Klasse der Semimartingale umfasst viele bekannte stochastische… … Deutsch Wikipedia
semimartingale — noun A form of probability process that is the sum of a martingale and another form of process … Wiktionary
Itō calculus — Itō calculus, named after Kiyoshi Itō, extends the methods of calculus to stochastic processes such as Brownian motion (Wiener process). It has important applications in mathematical finance and stochastic differential equations.The central… … Wikipedia
Itō's lemma — In mathematics, Itō s lemma is used in Itō stochastic calculus to find the differential of a function of a particular type of stochastic process. It is the stochastic calculus counterpart of the chain rule in ordinary calculus and is best… … Wikipedia
Semimartingal — Als Semimartingale werden in der Stochastik bestimmte Prozesse bezeichnet, die insbesondere für die Definition eines allgemeinen stochastischen Integrals von Bedeutung sind. Die Klasse der Semimartingale umfasst viele bekannte stochastische… … Deutsch Wikipedia
Doléans-Dade exponential — In stochastic calculus, the Doléans Dade exponential, Doléans exponential, or stochastic exponential, of a semimartingale X is defined to be the solution to the stochastic differential equation dYt = Yt dXt with initial condition Y0 = 1. The… … Wikipedia
Girsanov theorem — In probability theory, the Girsanov theorem tells how stochastic processes change under changes in measure. The theorem is especially important in the theory of financial mathematics as it tells how to convert from the physical measure which… … Wikipedia
Stratonovich integral — In stochastic processes, the Stratonovich integral (developed simultaneously by Ruslan L. Stratonovich and D. L. Fisk) is a stochastic integral, the most common alternative to the Itō integral. While the Ito integral isthe usual choice in applied … Wikipedia
Russo-Vallois integral — In mathematical analysis, the Russo Vallois integral is an extension of the classical Riemann Stieltjes integral :int fdg=int fg ds for suitable functions f and g. The idea is to replace the derivative g by the difference quotient:g(s+epsilon)… … Wikipedia
Lemma von Itō — Das Lemma von Itō (auch Itō Formel), benannt nach dem japanischen Mathematiker Itō Kiyoshi, ist eine zentrale Aussage in der stochastischen Analysis. Es ist die Kettenregel aus der Differentialrechnung für stochastische Prozesse.… … Deutsch Wikipedia
