Correction to ``Stochastic integral of $L_{2}$-functions with respect to Gaussian processes''
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چکیده
منابع مشابه
Stochastic Integration with respect to Gaussian Processes
We construct a Stratonovitch-Skorohod-like stochastic integral for general Gaussian processes. We study its sample-paths 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 Itô formula. c 2001 Académie des sciences/Éditions scientifiques et médicales Elsevier SAS Intégrale stochasti...
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15 صفحه اولStochastic Integration with respect to Volterra processes
We construct the basis of a stochastic calculus for so-called Volterra processes, i.e., processes which are defined as the stochastic integral of a timedependent kernel with respect to a standard Brownian motion. For these processes which are natural generalization of fractional Brownian motion, we construct a stochastic integral and show some of its main properties: regularity with respect to ...
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This paper is devoted to a construction of the stochastic Itô integral with respect to infinite dimensional cylindrical Wiener process. The construction given is an alternative one to that introduced by DaPrato and Zabczyk [3]. The connection of the introduced integral with the integral defined by Walsh [9] is provided as well.
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In a Euclidean space , the Lebesgue-Stieltjes integral of set-valued stochastic processes d R , 0, t F F t T with respect to real valued finite variation process , 0, t A t T t is defined directly by employing all integrably bounded selections instead of taking the decomposable closure appearing in some existed references. We shall show that this kind of integr...
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ژورنال
عنوان ژورنال: Tohoku Mathematical Journal
سال: 1976
ISSN: 0040-8735
DOI: 10.2748/tmj/1178240785