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Stochastic Integration with Respect to Semimartingale Random Measures

✍ Scribed by Lebedev, V. A.


Book ID
118221513
Publisher
Society for Industrial and Applied Mathematics
Year
1990
Tongue
English
Weight
422 KB
Volume
34
Category
Article
ISSN
0040-585X

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πŸ“œ SIMILAR VOLUMES


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