A formal approach to stochastic integration and differential equations
- 1 January 1980
- journal article
- research article
- Published by Taylor & Francis in Stochastics
- Vol. 3 (1-4), 105-125
- https://doi.org/10.1080/17442507908833141
Abstract
Stochastic integrals are defined using a differential rule and the fundamental theorem of calculus. It is shown that such integrals lead to the solution of stochastic differential equations driven by a single Wiener process or square integral sample path continuous martingaleKeywords
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