𝔖 Bobbio Scriptorium
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Integration with respect to local time

✍ Scribed by Nathalie Eisenbaum


Book ID
111562082
Publisher
Springer Netherlands
Year
2000
Tongue
English
Weight
159 KB
Volume
13
Category
Article
ISSN
0926-2601

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Stochastic integration with respect to G
✍ Laurent Decreusefond πŸ“‚ Article πŸ“… 2002 πŸ› Elsevier Science 🌐 English βš– 82 KB

We construct a Stratonovitch-Skorohod-like stochastic integral for general Gaussian processes. We study its sample path regularity and one of its numerical approximating schemes. We also analyze the way it is transformed by an absolutely continuous change of probability and we give an ItΓ΄ formula. T