An Introduction to Stochastic Integration

By Michael Koller. 2011

426 citations recorded by the source corpus.

Subfields: Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/efb04bd5d9042a28e1b0e64c863ecc9bf22e0d0a

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In Management Science and Operations Research

1. Gareth O. Roberts
2. Shige Peng
3. Omiros Papaspiliopoulos
4. Andrew M. Stuart
5. Li-Xin Zhang
6. Marcel Nutz
7. Mingshang Hu
8. Yongsheng Song

Citations in the corpus

• Nonparametric estimation of diffusions: a differential equations approach (2012, background): “In particular, it is known (see for example Corollary 7.4 of Chung & Williams (1990) and Section 1.1.3 of Kutoyants (2004)) that for any Borel measurable and locally integrable function f on R we have for each t, Pα-a.s:∫ t 0 f(Xs)ds = ∫ ∞ −∞ Lt(u)f(u)du (4) where for every (t, x) Lt(x) = lim…”
• Nonlinear Expectations and Stochastic Calculus under Uncertainty (2010, background): “Readers are referred to Chung and Williams (1990) [25], Dellacherie and Meyer (1978 and 1982) [33], He, Wang and Yan (1992) [57], Itô and McKean (1965) [66], Ikeda and Watanabe (1981) [63], Kallenberg (2002) [72], Karatzas and Shreve (1988) [73], Øksendal (1998) [87], Protter (1990) [110], Revuz…”