Stochastic integral representations, stochastic derivatives and minimal variance hedging
- Author
- DI NUNNO, G1
[1] Dipartimento di Matematica, Università degli Studi di Pavia, via Ferrata, 27100 Pavia, Italy - Source
Stochastics and stochastics reports (Print). 2002, Vol 73, Num 1-2, pp 181-198 ; ref : 35 ref
- CODEN
- SSTREY
- ISSN
- 1045-1129
- Scientific domain
- Control theory, operational research; Mathematics
- Publisher
- Taylor & Francis, Abingdon
- Publication country
- United Kingdom
- Document type
- Article
- Language
- English
- Keyword (fr)
- Calcul stochastique Dérivée Intégrale stochastique Martingale Meilleure approximation Processus Lévy Processus Wiener Représentation intégrale Variable aléatoire Variance 60G48 60H05 91b28 Formule Clark Haussmann Ocone
- Keyword (en)
- Stochastic calculus Derivative Stochastic integral Martingale Best approximation Lévy process Wiener process Integral representation Random variable Variance Clark Haussmann Ocone formula
- Keyword (es)
- Cálculo estocástico Derivada Integral estocástica Martingale Mejor aproximación Proceso Lévy Proceso Wiener Representación integral Variable aléatoria Variancia
- Classification
- Pascal
- 001 Exact sciences and technology / 001A Sciences and techniques of general use / 001A02 Mathematics / 001A02H Probability and statistics / 001A02H01 Probability theory and stochastic processes / 001A02H01I Stochastic analysis
- Discipline
- Mathematics
- Origin
- Inist-CNRS
- Database
- PASCAL
- INIST identifier
- 13799497
Sauf mention contraire ci-dessus, le contenu de cette notice bibliographique peut être utilisé dans le cadre d’une licence CC BY 4.0 Inist-CNRS / Unless otherwise stated above, the content of this bibliographic record may be used under a CC BY 4.0 licence by Inist-CNRS / A menos que se haya señalado antes, el contenido de este registro bibliográfico puede ser utilizado al amparo de una licencia CC BY 4.0 Inist-CNRS
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DOI
10.1080/10451120212869 
https://dx.doi.org/10.1080/10451120212869
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