確率論セミナー


2025/6/17(Tue)

15:10--16:40 理学部 E404/406/408 大セミナー室

Johannes Ruf

London School of Economics

Predictable variations in stochastic calculus

The focus of this talk is the transformation of increments of a stochastic process by a predictable function. Many operations in stochastic analysis can be considered under this point of view. Stochastic integrals, for example, are linear functionals of process increments. Although mathematically equivalent, focusing on transformation of increments often leads to simpler proofs of more general statements in stochastic calculus. In this talk specifically, we illustrate how considering predictable variations lead to various Ito-type formulas. Joint work with Ales Cerny