On the stochastic differentiability of noncausal processes with respect to the process with quadratic variation

Date
2026/04/24 Fri 15:30 - 17:00
Room
3号館552号室
Speaker
Kiyoiki Hoshino
Affiliation
Osaka Metropolitan University
Abstract

The sum of stochastic processes $X$ and $Y$ with quadratic variation does not necessarily have quadratic variation in general. In this talk, we show that if $X$ and $Y$ is stochastic differentiable, in the sense we introduce, with respect to some process $Z$ with quadratic variation, the sum of $X$ and $Y$ have quadratic variation.