Elements of Stochastic Calculus via Regularisation

Details Elements of Stochastic Calculus via Regularisation Elements of Stochastic Calculus via Regularisation

2006-03-09

arxiv.org/abs/math/0603224v1

Mathematics

Probability

39 pages. First version. Preprint LAGA-Paris 13 2004-28. To appear: S\'eminaire de Probabilit\'es

Scientific paper

This paper first summarizes the foundations of stochastic calculus via
regularization and constructs through this procedure It\^o and Stratonovich
integrals. In the second part, a survey and new results are presented in
relation with finite quadratic variation processes, Dirichlet and weak
Dirichlet processes.

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