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Stochastic processes with Gaussian interaction of components

✍ Scribed by Cheng -Tan Hsiao


Publisher
Springer
Year
1982
Tongue
English
Weight
639 KB
Volume
59
Category
Article
ISSN
1432-2064

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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