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 ...

Intrinsically noisy mechanisms drive most physical, biological and economic phenomena. Frequently, the system’s state influences the driving noise intensity (multiplicative feedback). These phenomena ...

Studies mathematical theories and techniques for modeling financial markets. Specific topics include the binomial model, risk neutral pricing, stochastic calculus, connection to partial differential ...