Speaker: A.A.Dorogovtsev
Title: Tanaka’s formula for Gaussian random processes
An analogue to Tanaka’s formula with the extended stochastic integral is discussed for Gaussian random processes that are not semi-martingales.
Department of the Theory of Stochastic Processes
Institute of mathematics department site
Speaker: A.A.Dorogovtsev
Title: Tanaka’s formula for Gaussian random processes
An analogue to Tanaka’s formula with the extended stochastic integral is discussed for Gaussian random processes that are not semi-martingales.