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Some approximations of stochastic θ-integrals

✍ Scribed by N. V. Lazakovich; S. P. Stashulenok; O. L. Yablonskii


Publisher
Springer
Year
1999
Tongue
English
Weight
321 KB
Volume
39
Category
Article
ISSN
0363-1672

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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 ≥ 0, inductively by In(t, X