Concepedia

Stochastic Integration

Stochastic Integration is a mathematical framework within stochastic calculus that generalizes the concept of integration to processes involving randomness, specifically by integrating a predictable process with respect to a semimartingale, thereby accounting for the inherent variability and non-differentiability of sample paths in continuous-time stochastic systems.

1K

Publications

65.4K

Citations

1.3K

Authors

636

Institutions

Publications per year

2017–2026

116

Parents

Publications

1K

Probability and Measure.

PE, P. Billingsley · Journal of the American Statistical Association · 1996 · 6.7K citations

, , +16

An Algorithmic Introduction to Numerical Simulation of Stochastic Differential Equations

Desmond J. Higham · SIAM Review · 2001 · 3.1K citations

, , +16

Statistical Models Based on Counting Processes

Xavier Bry, Per Kragh Andersen, Ørnulf Borgan et al. · Population · 1997 · 2.9K citations

, , +15

Martingales and stochastic integrals in the theory of continuous trading

J. Michael Harrison, Stanley R. Pliska · Stochastic Processes and their Applications · 1981 · 2.9K citations

, , +14

Differential equations driven by rough signals

Terry Lyons · Revista Matemática Iberoamericana · 1998 · 1.1K citations · Full text

, , +14

1–5 of 1K

Authors

1.3K

  1. DF
    Dmitriy F. Kuznetsov

    Peter the Great St. Petersburg Polytechnic University, Russia

    17 publications · 331 citations

    13

    h-index

  2. DN
    David Nualart

    Universitat de Barcelona, Spain

    12 publications · 700 citations

    12

    h-index

  3. MZ
    Moshe Zakai

    Technion – Israel Institute of Technology, Israel

    12 publications · 1.3K citations

    12

    h-index

  4. PP
    Philip Protter

    Cornell University, United States

    11 publications · 728 citations

    11

    h-index

  5. FR
    Francesco Russo

    École Nationale Supérieure de Techniques Avancées, France

    11 publications · 660 citations

    11

    h-index

1–5 of 1.3K

Institutions

636

  1. Centre National de la Recherche Scientifique

    Paris, France

    17 h-index

    30 publications

    1.7K citations

  2. Sorbonne Université

    Paris, France

    15 h-index

    17 publications

    1.1K citations

  3. Université Paris Cité

    Paris, France

    12 h-index

    18 publications

    749 citations

  4. Universitat de Barcelona

    Barcelona, Spain

    12 h-index

    18 publications

    1.2K citations

  5. University of Pisa

    Pisa, Italy

    11 h-index

    16 publications

    909 citations

  6. École Polytechnique

    Palaiseau, France

    11 h-index

    16 publications

    2.4K citations

  7. University of Oslo

    Oslo, Norway

    10 h-index

    15 publications

    1.1K citations

  8. Northwestern Polytechnical University

    Xi'an, China

    10 h-index

    25 publications

    669 citations

1–8 of 636

Venues

  1. The Annals of Probability

    67 publications · 3.4K citations

    34

    h-index

  2. Stochastic Processes and their Applications

    50 publications · 5K citations

    23

    h-index

  3. Stochastics and stochastics reports

    33 publications · 1.5K citations

    20

    h-index

  4. Theory of Probability and Its Applications

    26 publications · 2.7K citations

    19

    h-index

  5. arXiv (Cornell University)

    Repository · 30 publications · 838 citations

    17

    h-index

1–5