STOCHASTIC INTEGRATION WITH RESPECT TO THE CYLINDRICAL WIENER PROCESS VIA REGULARIZATION
نویسندگان
چکیده
منابع مشابه
Stochastic Integral with respect to Cylindrical Wiener Process
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.
متن کاملStochastic Volterra equations driven by cylindrical Wiener process
In this paper, stochastic Volterra equations driven by cylindrical and genuine Wiener process in Hilbert space are investigated. Sufficient conditions for existence of strong solutions are given. The key role is played by convergence of α-times resolvent families.
متن کاملSkorohod stochastic integration with respect to non-adapted processes on Wiener space
Abstract We define a Skorohod type anticipative stochastic integral that extends the Itô integral not only with respect to the Wiener process, but also with respect to a wide class of stochastic processes satisfying certain homogeneity and smoothness conditions, without requirements relative to filtrations such as adaptedness. Using this integral, a change of variable formula that extends the c...
متن کاملStochastic 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 ...
متن کاملStochastic 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...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Infinite Dimensional Analysis, Quantum Probability and Related Topics
سال: 2013
ISSN: 0219-0257,1793-6306
DOI: 10.1142/s0219025713500240