Elements of Stochastic Calculus via Regularisation

Abstract

This paper first summarizes the foundations of stochastic calculus via regularization and constructs through this procedure Itô 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.

39 pages. First version. Preprint LAGA-Paris 13 2004-28. To appear: Séminaire de Probabilités

Cited by in corpus (4)

• Analysis of the Rosenblatt process
• Stochastic derivatives for fractional diffusions
• On some errors related to the graduation of measuring instruments
• Approximation via regularization of the local time of semimartingales and Brownian motion