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XIV: 28, 249-253, LNM 784 (1980)

**YOEURP, Chantha**

Sur la dérivation des intégrales stochastiques (Stochastic calculus)

The following problem is discussed: under which conditions do ratios of the form $\int_t^{t+h} H_s\,dM_s/(M_{t+h}-M_t)$ converge to $H_t$ as $h\rightarrow 0$? It is shown that positive results due to Isaacson (*Ann. Math. Stat.* **40**, 1979) in the Brownian case fail in more general situations

Comment: See also 1529

Keywords: Stochastic integrals

Nature: Original

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Sur la dérivation des intégrales stochastiques (Stochastic calculus)

The following problem is discussed: under which conditions do ratios of the form $\int_t^{t+h} H_s\,dM_s/(M_{t+h}-M_t)$ converge to $H_t$ as $h\rightarrow 0$? It is shown that positive results due to Isaacson (

Comment: See also 1529

Keywords: Stochastic integrals

Nature: Original

Retrieve article from Numdam