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
β¦ LIBER β¦
Stochastic integration with respect toqBrownian motion
β Scribed by C. Donati-Martin
- Publisher
- Springer
- Year
- 2003
- Tongue
- English
- Weight
- 155 KB
- Volume
- 125
- Category
- Article
- ISSN
- 1432-2064
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