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Iterated integrals with respect to Bessel processes

✍ Scribed by Litan Yan; Jingyun Ling


Book ID
108267251
Publisher
Elsevier Science
Year
2005
Tongue
English
Weight
211 KB
Volume
74
Category
Article
ISSN
0167-7152

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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