Estimate for stochastic integrals
β Scribed by G. Pragarauskas
- Publisher
- Springer
- Year
- 1974
- Tongue
- English
- Weight
- 249 KB
- Volume
- 14
- Category
- Article
- ISSN
- 0363-1672
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π SIMILAR VOLUMES
The objects under investigation are the stochastic integrals with respect to free LΓ©vy 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 ItΓ΄ formula, we prove the full functional ItΓ΄ formu
Institut f . u ur Mathematische Stochastik, Universit . a at G . o ottingen, Maschm . u uhlenweg 8-10, D-37073 G . o ottingen, Germany
Let X = (Xt, Ft) be a continuous local martingale with quadratic variation X and X0 = 0. Define iterated stochastic integrals In(X) = (In(t, X), Ft) , n β₯ 0, inductively by In(t, X