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Addendum: On Itô’s Stochastic Integral Equations

✍ Scribed by Krylov, N. V.

Book ID
118227750
Publisher
Society for Industrial and Applied Mathematics
Year
1973
Tongue
English
Weight
143 KB
Volume
17
Category
Article
ISSN
0040-585X

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Itô Formula for Free Stochastic Integral
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✍ Michael Anshelevich 📂 Article 📅 2002 🏛 Elsevier Science 🌐 English ⚖ 184 KB

The objects under investigation are the stochastic integrals with respect to free Lévy processes. We define such integrals for square-integrable integrands, as well as for a certain general class of bounded integrands. Using the product form of the Itô formula, we prove the full functional Itô formu