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On Itô’s Stochastic Integral Equations

✍ Scribed by Krylov, N. V.


Book ID
118167931
Publisher
Society for Industrial and Applied Mathematics
Year
1969
Tongue
English
Weight
687 KB
Volume
14
Category
Article
ISSN
0040-585X

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📜 SIMILAR VOLUMES


Itô Formula for Free Stochastic Integral
✍ 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