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 Itô formula. T
✦ LIBER ✦
Multiple integrals with respect to L-mixing processes
✍ Scribed by László Gerencsér
- Publisher
- Elsevier Science
- Year
- 1993
- Tongue
- English
- Weight
- 688 KB
- Volume
- 17
- Category
- Article
- ISSN
- 0167-7152
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