arXiv:math/0603224 Abstract

arXiv:math/0603224 [math.PR]Abstract References Reviews Resources

Elements of Stochastic Calculus via Regularisation

Published 2006-03-09Version 1

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.

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

Categories: math.PR

Subjects: 60H05, 60G44, 60G48

Keywords: stochastic calculus, regularisation, finite quadratic variation processes, weak dirichlet processes, paper first summarizes

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