- semimartingale sequence
- мат. полумартингал-последовательность
Большой англо-русский и русско-английский словарь. 2001.
Большой англо-русский и русско-английский словарь. 2001.
Itō calculus — Itō calculus, named after Kiyoshi Itō, extends the methods of calculus to stochastic processes such as Brownian motion (Wiener process). It has important applications in mathematical finance and stochastic differential equations.The central… … Wikipedia
Itō's lemma — In mathematics, Itō s lemma is used in Itō stochastic calculus to find the differential of a function of a particular type of stochastic process. It is the stochastic calculus counterpart of the chain rule in ordinary calculus and is best… … Wikipedia
Martingale (probability theory) — For the martingale betting strategy , see martingale (betting system). Stopped Brownian motion is an example of a martingale. It can be used to model an even coin toss betting game with the possibility of bankruptcy. In probability theory, a… … Wikipedia
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Russo-Vallois integral — In mathematical analysis, the Russo Vallois integral is an extension of the classical Riemann Stieltjes integral :int fdg=int fg ds for suitable functions f and g. The idea is to replace the derivative g by the difference quotient:g(s+epsilon)… … Wikipedia
No free lunch with vanishing risk — (NFLVR) is a no arbitrage argument. We have free lunch with vanishing risk if by utilizing a sequence of tame self financing portfolios which converge to an arbitrage strategy, we can approximate a self financing portfolio (called the free lunch… … Wikipedia