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Semimartingale: Ito or not ?

Ait-Sahalia, Y; Jacod, J

Ait-Sahalia, Y (reprint author), Princeton Univ, Dept Econ, Princeton, NJ 08544 USA.; Ait-Sahalia, Y (reprint author), NBER, Princeton, NJ 08544 USA.

STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 2018; 128 (1): 233

Abstract

Ito semimartingales are the semimartingales whose characteristics are absolutely continuous with respect to Lebesgue measure. We study the importance ......

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