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Stochastic realization for Gaussian processes

✍ Scribed by Giorgio Picci


Publisher
Elsevier Science
Year
1976
Tongue
English
Weight
69 KB
Volume
301
Category
Article
ISSN
0016-0032

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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