A generalization of an extended stochastic integral
We propose a generalization of an extended stochastic integral in the case of integration with respect to a wide class of random processes. In particular, we obtain conditions for the coincidence of the considered integral with the classical Ito stochastic integral.
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| Date: | 2007 |
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| Main Authors: | , , |
| Format: | Article |
| Language: | English |
| Published: |
Інститут математики НАН України
2007
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| Series: | Український математичний журнал |
| Subjects: | |
| Online Access: | http://dspace.nbuv.gov.ua/handle/123456789/164185 |
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| Journal Title: | Digital Library of Periodicals of National Academy of Sciences of Ukraine |
| Cite this: | A generalization of an extended stochastic integral / S. Albeverio, Yu.M. Berezansky, V.A. Tesko // Український математичний журнал. — 2007. — Т. 59, № 5. — С. 588–617. — Бібліогр.: 56 назв. — англ. |