We prove that the class of Skorohod integral processes coincides with a class of Itô integrals. Using the techniques of the classical Itô stochastic calculus, we develop a new stochastic calculus for ...

Stochastic processes provide a probabilistic framework to model the time-evolving uncertainty intrinsic to financial markets. By characterising random movements such as asset prices, interest rates ...

Financial market models lie at the intersection of applied probability, economics and mathematical finance, providing robust frameworks to describe asset price dynamics and risk management. Central to ...

Lean Energy Management—10: How Martingale stochastic control navigates computer-aided lean energy management The complex interactions of the financial, logistical, and geological processes that are ...

We give a simple representation of two-parameter martingales in terms of a stochastic integral. This representation leads to the idea of the partial derivate of a martingale and to a generalization of ...