Academic literature on the topic 'Itô calculus'

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Journal articles on the topic "Itô calculus"

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Dupire, Bruno. "Functional Itô calculus." Quantitative Finance 19, no. 5 (2019): 721–29. http://dx.doi.org/10.1080/14697688.2019.1575974.

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Cont, Rama, and Ruhong Jin. "Fractional Ito calculus." Transactions of the American Mathematical Society, Series B 11, no. 22 (2024): 727–61. http://dx.doi.org/10.1090/btran/185.

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We derive Itô–type change of variable formulas for smooth functionals of irregular paths with nonzero p p th variation along a sequence of partitions, where p ≥ 1 p \geq 1 is arbitrary, in terms of fractional derivative operators. Our results extend the results of the Föllmer–Itô calculus to the general case of paths with ‘fractional’ regularity. In the case where p p is not an integer, we show that the change of variable formula may sometimes contain a nonzero ‘fractional’ Itô remainder term and provide a representation for this remainder term. These results are then extended to functionals o
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Cosso, Andrea, and Francesco Russo. "Functional Itô versus Banach space stochastic calculus and strict solutions of semilinear path-dependent equations." Infinite Dimensional Analysis, Quantum Probability and Related Topics 19, no. 04 (2016): 1650024. http://dx.doi.org/10.1142/s0219025716500247.

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Functional Itô calculus was introduced in order to expand a functional [Formula: see text] depending on time [Formula: see text], past and present values of the process [Formula: see text]. Another possibility to expand [Formula: see text] consists in considering the path [Formula: see text] as an element of the Banach space of continuous functions on [Formula: see text] and to use Banach space stochastic calculus. The aim of this paper is threefold. (1) To reformulate functional Itô calculus, separating time and past, making use of the regularization procedures which match more naturally the
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Duong, Dam Ton, and Hao Ngoc Duong. "ITÔ – HERMITE RANDOM PROCESS." Science and Technology Development Journal 13, no. 3 (2010): 13–18. http://dx.doi.org/10.32508/stdj.v13i3.2149.

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Akahori, Jirô, Corina Constantinescu, and Kei Miyagi. "Itô calculus for Cramér-Lundberg model." JSIAM Letters 12 (2020): 25–28. http://dx.doi.org/10.14495/jsiaml.12.25.

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Aletti, Giacomo, and Diane Saada. "Set-Indexed Itô Calculus Along Paths." Stochastic Analysis and Applications 22, no. 4 (2004): 1027–66. http://dx.doi.org/10.1081/sap-120037630.

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PICKEN, R. F., and J. N. WEBB. "DERIVATION OF ANOMALIES USING THE ITÔ STOCHASTIC CALCULUS." International Journal of Modern Physics A 04, no. 13 (1989): 3179–91. http://dx.doi.org/10.1142/s0217751x89001291.

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Itô’s stochastic calculus is used to derive a number of anomalous Ward identities. The general features of the method are described and similarities with Fujikawa’s path integral approach are pointed out. The stochastic calculus provides an easily understood origin for anomalies within the framework of the stochastic quantization scheme.
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LENCZEWSKI, ROMUALD. "FILTERED STOCHASTIC CALCULUS." Infinite Dimensional Analysis, Quantum Probability and Related Topics 04, no. 03 (2001): 309–46. http://dx.doi.org/10.1142/s0219025701000553.

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By introducing a color filtration to the multiplicity space [Formula: see text], we extend the quantum Itô calculus on multiple symmetric Fock space [Formula: see text] to the framework of filtered adapted biprocesses. In this new notion of adaptedness, "classical" time filtration makes the integrands similar to adapted processes, whereas "quantum" color filtration produces their deviations from adaptedness. An important feature of this calculus, which we call filtered stochastic calculus, is that it provides an explicit interpolation between the main types of calculi, regardless of the type o
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Walsh, Alexander. "Extended Itô calculus for symmetric Markov processes." Bernoulli 18, no. 4 (2012): 1150–71. http://dx.doi.org/10.3150/11-bej377.

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HUDSON, R. "Itô calculus and quantisation of Lie bialgebras." Annales de l'Institut Henri Poincare (B) Probability and Statistics 41, no. 3 (2005): 375–90. http://dx.doi.org/10.1016/j.anihpb.2004.09.008.

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Dissertations / Theses on the topic "Itô calculus"

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Köpfer, Benedikt [Verfasser], and Ludger [Akademischer Betreuer] Rüschendorf. "Comparison of stochastic processes by Markov projection and functional Itô calculus." Freiburg : Universität, 2019. http://d-nb.info/1190560445/34.

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Voloshchenko, Iryna [Verfasser], and Alexander [Akademischer Betreuer] Schied. "On pathwise functional Itô calculus and its applications to mathematical finance / Iryna Voloshchenko ; Betreuer: Alexander Schied." Mannheim : Universitätsbibliothek Mannheim, 2016. http://d-nb.info/1115145118/34.

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Arras, Benjamin. "Autour de quelques processus à accroissements stationnaires et autosimilaires." Thesis, Châtenay-Malabry, Ecole centrale de Paris, 2014. http://www.theses.fr/2014ECAP0060/document.

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Dans ce travail de thèse, nous nous intéressons à certaines propriétés d'une classe de processus stochastiques à accroissements stationnaires et autosimilaires. Ces processus sont représentés par des intégrales multiples de Wiener-Itô. Dans le premier chapitre, nous étudions les propriétés géométriques des trajectoires de ce type de processus. En particulier, nous obtenons un développement en ondelettes presque-sûr. Celui-ci permet alors de trouver une borne supérieure pour le module de continuité uniforme, une borne supérieure pour le comportement asymptotique du processus et un résultat pres
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Anagnostakis, Alexis. "Étude trajectorielle de diffusions singulières." Electronic Thesis or Diss., Université de Lorraine, 2022. http://www.theses.fr/2022LORR0164.

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Le sujet principale de cette thèse est l'étude des processus de diffusions singuliers et en particulier des diffusions collantes. Introduites par Feller dans les années 50, les diffusions collantes sont apparues comme un cas particulier de conditions de bord dans la description analytique des diffusions générales. Leurs trajectoires passent un temps positif sur des points de l'espace d'états leur donnant l'apparence d'y coller. Quand de tels points se trouvent sur des bords atteignables de l'espace d'états on parle de réflexion collante. La première contribution est l'approximation du temps lo
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Janečka, Adam. "Stochastické rovnice a numerické řešení modelu oceňování opcí." Master's thesis, Vysoká škola ekonomická v Praze, 2012. http://www.nusl.cz/ntk/nusl-195450.

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In the present work, we study the topic of stochastic differential equations, their numerical solution and solution of models for pricing of options which follow from stochastic differential equations using the Itô calculus. We present several numerical methods for solving stochastic differential equations. These methods are then implemented in MATLAB and we investigate their properties, especially their convergence characteristics. Furthermore, we formulate two models for pricing of European call options. We solve these models using a variant of the spectral collocation method, again in MATLA
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Walsh, Zuniga Alexander. "Calcul d'Itô étendu." Paris 6, 2011. http://www.theses.fr/2011PA066188.

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Nos différents résultats consistent principalement à établir des extensions du calcul stochastique classique. Pour (X_t) processus de Markov, il s'agissait à l'origine de donner dans les quatre cas suivants, la décomposition explicite de F(X_t,t) en tant que processus de Dirichlet, sous des conditions minimum sur F fonction déterministe à valeurs réelles. Dans le premier cas, X est un processus de Lévy réel avec composante brownienne. Dans le deuxième cas X est un processus de Lévy symétrique sans composante brownienne mais admettant des temps locaux en tant que processus de Markov. Dans le tr
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Ling, Paul David. "The Ito calculus : a vector integral approach." Thesis, University of Oxford, 1989. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.238210.

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Moshrefi-Torbati, Mohamed. "Fractional calculus and its applications to dynamic systems." Thesis, University of Southampton, 1995. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.296421.

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De, Marco Stefano. "On Probability Distributions of Diffusions and Financial Models with non-globally smooth coefficients." Doctoral thesis, Scuola Normale Superiore, 2011. http://hdl.handle.net/11384/85676.

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In this Ph.D. dissertation we deal with the issue of the regularity and the estimation of probability laws for diffusions with non-globally smooth coefficients, with particular focus on financial models. The analysis of probability laws for the solutions of Stochastic Differential Equations (SDEs) driven by the Brownian motion is among the main applications of the Malliavin calculus on the Wiener space: typical issues involve the existence and smoothness of a density, and the study of the asymptotic behaviour of the distribution’s tails. The classical results in this area are stated ass
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Sengul, Sevgi. "Discrete Fractional Calculus and Its Applications to Tumor Growth." TopSCHOLAR®, 2010. http://digitalcommons.wku.edu/theses/161.

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Almost every theory of mathematics has its discrete counterpart that makes it conceptually easier to understand and practically easier to use in the modeling process of real world problems. For instance, one can take the "difference" of any function, from 1st order up to the n-th order with discrete calculus. However, it is also possible to extend this theory by means of discrete fractional calculus and make n- any real number such that the ½-th order difference is well defined. This thesis is comprised of five chapters that demonstrate some basic definitions and properties of discrete fractio
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Books on the topic "Itô calculus"

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Bally, Vlad, Lucia Caramellino, and Rama Cont. Stochastic Integration by Parts and Functional Itô Calculus. Edited by Frederic Utzet and Josep Vives. Springer International Publishing, 2016. http://dx.doi.org/10.1007/978-3-319-27128-6.

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Goldstein, Larry Joel. Calculus & its applications. Pearson Education, 2006.

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Goldstein, Larry Joel. Calculus & its applications. Pearson Education, 2004.

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Goldstein, Larry Joel. Calculus and its applications. 5th ed. Prentice-Hall, 1990.

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Goldstein, Larry Joel. Calculus and its applications. 7th ed. Prentice Hall, 1996.

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Goldstein, Larry Joel. Calculus and its applications. 9th ed. Prentice Hall, 2001.

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Goldstein, Larry Joel. Calculus and its applications. 5th ed. Prentice Hall, 1990.

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Goldstein, Larry Joel. Calculus and its applications. 8th ed. Prentice Hall, 1999.

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Goldstein, Larry Joel. Calculus and its applications. 4th ed. Prentice-Hall, 1987.

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Goldstein, Larry Joel. Calculus and its applications. 4th ed. Prentice-Hall International, 1987.

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Book chapters on the topic "Itô calculus"

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Pascucci, Andrea. "Itô calculus." In PDE and Martingale Methods in Option Pricing. Springer Milan, 2011. http://dx.doi.org/10.1007/978-88-470-1781-8_5.

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Kroese, Dirk P., and Zdravko I. Botev. "Itô Calculus." In An Advanced Course in Probability and Stochastic Processes. Chapman and Hall/CRC, 2023. http://dx.doi.org/10.1201/9781003315018-7.

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Nagasawa, Masao. "The Itô Calculus." In Stochastic Processes in Quantum Physics. Birkhäuser Basel, 2000. http://dx.doi.org/10.1007/978-3-0348-8383-2_16.

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Brzeźniak, Zdzisław, and Tomasz Zastawniak. "Itô Stochastic Calculus." In Springer Undergraduate Mathematics Series. Springer London, 1999. http://dx.doi.org/10.1007/978-1-4471-0533-6_7.

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Watanabe, Shinzo. "Itô Calculus and Malliavin Calculus." In Stochastic Analysis and Applications. Springer Berlin Heidelberg, 2007. http://dx.doi.org/10.1007/978-3-540-70847-6_29.

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Russo, Francesco, and Pierre Vallois. "Itô Integrals." In Stochastic Calculus via Regularizations. Springer International Publishing, 2022. http://dx.doi.org/10.1007/978-3-031-09446-0_5.

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Steele, J. Michael. "Itô Integration." In Stochastic Calculus and Financial Applications. Springer New York, 2001. http://dx.doi.org/10.1007/978-1-4684-9305-4_6.

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Schuss, Zeev. "Itô Integration and Calculus." In Applied Mathematical Sciences. Springer New York, 2009. http://dx.doi.org/10.1007/978-1-4419-1605-1_3.

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Accardi, Luigi, and Andreas Boukas. "Itô Calculus and Quantum White Noise Calculus." In Stochastic Analysis and Applications. Springer Berlin Heidelberg, 2007. http://dx.doi.org/10.1007/978-3-540-70847-6_2.

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Russo, Francesco, and Pierre Vallois. "Itô Classical Stochastic Differential Equations." In Stochastic Calculus via Regularizations. Springer International Publishing, 2022. http://dx.doi.org/10.1007/978-3-031-09446-0_12.

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Conference papers on the topic "Itô calculus"

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Lee, Ho, Jeehyun Kim, Bernard Choi, Joel M. H. Teichman, and A. J. Welch. "High-Speed Photographic Evaluation of Retropulsion Momentum Induced by a Laser Calculi Lithotriptor." In ASME 2001 International Mechanical Engineering Congress and Exposition. American Society of Mechanical Engineers, 2001. http://dx.doi.org/10.1115/imece2001/htd-24429.

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Abstract Since the mid-1980’s, many reports have demonstrated the clinical feasibility of fragmenting urinary and biliary calculi with high power lasers [1,2]. Several lasers such as pulsed dye, alexandrite and holmium:YAG have been successfully used as intracorporeal lithotriptors[3–5]. Calculus fragmentation is produced by the combination of direct thermal energy absorption and laser induced shock waves[5–7]. During this powerful laser-tissue interaction, the calculus is subject to a strong retropulsive momentum caused by particle ejection or laser induced shock waves[8]. If the stone cannot
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Thomas, Ludovic, and Jean-Yves Le Boudec. "Network-Calculus Service Curves of the Interleaved Regulator." In 2023 35th International Teletraffic Congress (ITC-35). IEEE, 2023. http://dx.doi.org/10.1109/itc-3560063.2023.10555847.

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Yue Wang. "On deriving stable backlog bounds by stochastic network calculus." In 2013 25th International Teletraffic Congress (ITC 2013). IEEE, 2013. http://dx.doi.org/10.1109/itc.2013.6662954.

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Kapcak, Sinan, and Ünal Ufuktepe. "Multivariable Calculus on Time Scales." In 2011 International Conference on Computational Science and Its Applications (ICCSA). IEEE, 2011. http://dx.doi.org/10.1109/iccsa.2011.28.

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Icard, Thomas, Lawrence Moss, and William Tune. "A Monotonicity Calculus and Its Completeness." In Proceedings of the 15th Meeting on the Mathematics of Language. Association for Computational Linguistics, 2017. http://dx.doi.org/10.18653/v1/w17-3408.

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Tabatabaee, Seyed Mohammadhossein, Jean-Yves Le Boudec, and Marc Boyer. "Interleaved Weighted Round-Robin: A Network Calculus Analysis." In 2020 32nd International Teletraffic Congress (ITC 32). IEEE, 2020. http://dx.doi.org/10.1109/itc3249928.2020.00016.

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Teles Vieira, Flavio Henrique, and Luan Ling Lee. "Queueing analysis for multifractal traffic through network calculus and global scaling parameter." In 2006 International Telecommunications Symposium. IEEE, 2006. http://dx.doi.org/10.1109/its.2006.4433266.

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Paulraj, D., and S. Swamynathan. "Dynamic Discovery and Composition of Semantic Web Services Using Abductive Event Calculus." In 2010 International Conference on Recent Trends in Information, Telecommunication and Computing (ITC 2010). IEEE, 2010. http://dx.doi.org/10.1109/itc.2010.36.

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Wang, Hao, Jens Schmitt, and Florin Ciucu. "Performance modelling and analysis of unreliable links with retransmissions using network calculus." In 2013 25th International Teletraffic Congress (ITC 2013). IEEE, 2013. http://dx.doi.org/10.1109/itc.2013.6662955.

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Assaleh, Khaled, and Wajdi M. Ahmad. "Modeling of speech signals using fractional calculus." In 2007 9th International Symposium on Signal Processing and Its Applications (ISSPA). IEEE, 2007. http://dx.doi.org/10.1109/isspa.2007.4555563.

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Reports on the topic "Itô calculus"

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Zhylenko, Tetyana I. Auto Checker of Higher Mathematics - an element of mobile cloud education. [б. в.], 2020. http://dx.doi.org/10.31812/123456789/3895.

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We analyzed the main cloud services in the article. We also described the main contribution of mobile cloud technology to education. The article presents the author’s development from the field of mobile cloud education in higher mathematics. The design architecture of this application is described in detail: QR generator and scanner, authorization, sending tasks. Block diagrams and images are presented that clearly demonstrate the operation of the application. We showed an example of solving the integral from the section of integral calculus for higher mathematics and showed how to download t
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Zarrieß, Benjamin, and Jens Claßen. On the Decidability of Verifying LTL Properties of Golog Programs. Technische Universität Dresden, 2013. http://dx.doi.org/10.25368/2022.200.

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Golog is a high-level action programming language for controlling autonomous agents such as mobile robots. It is defined on top of a logic-based action theory expressed in the Situation Calculus. Before a program is deployed onto an actual robot and executed in the physical world, it is desirable, if not crucial, to verify that it meets certain requirements (typically expressed through temporal formulas) and thus indeed exhibits the desired behaviour. However, due to the high (first-order) expressiveness of the language, the corresponding verification problem is in general undecidable. In this
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Astafieva, Mariia M., Oleksii B. Zhyltsov, and Volodymyr V. Proshkin. E-learning as a mean of forming students' mathematical competence in a research-oriented educational process. [б. в.], 2020. http://dx.doi.org/10.31812/123456789/3896.

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The article is devoted to the substantiation of approaches to the effective use of advantages and minimization of disadvantages and losses of e-learning as a mean of forming mathematical competence of students in the conditions of research-oriented educational process. As a result of the ascertaining experiment, e-learning has certain disadvantages besides its obvious advantages (adaptability, possibility of individualization, absence of geographical barriers, ensuring social equality, unlimited number of listeners, etc.). However, the nature of these drawbacks lies not as much in the plane of
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Baader, Franz, and Benjamin Zarrieß. Verification of Golog Programs over Description Logic Actions. Technische Universität Dresden, 2013. http://dx.doi.org/10.25368/2022.198.

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High-level action programming languages such as Golog have successfully been used to model the behavior of autonomous agents. In addition to a logic-based action formalism for describing the environment and the effects of basic actions, they enable the construction of complex actions using typical programming language constructs. To ensure that the execution of such complex actions leads to the desired behavior of the agent, one needs to specify the required properties in a formal way, and then verify that these requirements are met by any execution of the program. Due to the expressiveness of
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Zarrieß, Benjamin, and Patrick Koopmann. On the Complexity of Verifying Timed Golog Programs over Description Logic Actions (Extended Version). Technische Universität Dresden, 2018. http://dx.doi.org/10.25368/2022.241.

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Golog programs allow to model complex behaviour of agents by combining primitive actions defined in a Situation Calculus theory using imperative and non-deterministic programming language constructs. In general, verifying temporal properties of Golog programs is undecidable. One way to establish decidability is to restrict the logic used by the program to a Description Logic (DL), for which recently some complexity upper bounds for verification problem have been established. However, so far it was open whether these results are tight, and lightweight DLs such as EL have not been studied at all
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Alenezi, Ali, Athary Saleem, Hamad Alajmi, Dalal Al Husainan, Odai Al Shadifat, and Ahmed Bader. Intraoperatively Diagnosed Double Cystic Duct During Laparoscopic Cholecystectomy: A Case Report of a Surgical Dilemma for the Operating Surgeons. Science Repository, 2024. http://dx.doi.org/10.31487/j.ajscr.2024.01.04.

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Introduction and Importance: A double cystic duct with a single gallbladder is one of the extremely uncommon variations of the cystic duct and only a few cases were reported in literature. Case Presentation: A 33-year-old female, with an unremarkable medical history, presented to the emergency department with a 2-day history of right upper quadrant abdominal (RUQ) pain. The abdominal pain was gradually increasing in intensity radiating to the back and was associated with anorexia and multiple episodes of vomiting. Abdominal examination revealed RUQ pain and tenderness. Abdominal ultrasonograph
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