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Functional Approach to Stochastic Integrals
[2017 KAIST Math. Colloquium ]
Date: 2017-09-07
Speaker : 지운식 (충북대학교)
Abstract : For a motivation of stochastic integrals, we start with stochastic (random) versions of deterministic systems and then we discuss the Ito integral as a non-anticipating (adapted) stochastic integral. Based on the quantum decomposition of Brownian motion, we study the Skorohod integral and Stratonovich integral as anticipating (non-adapted) stochastic integrals. Note that the Skorohod integral is the adjoint action of the Malliavin derivative.
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