منابع مشابه
Weak Convergence of Stochastic Integrals and Differential Equations∗
Let W denote a standard Wiener process with W0 = 0. For a variety of reasons, it is desirable to have a notion of an integral ∫ 1 0 HsdWs, where H is a stochastic process; or more generally an indefinite integral ∫ t 0 HsdWs, 0 ≤ t < ∞. If H is a process with continuous paths, an obvious way to define a stochastic integral is by a limit of sums: let πn[0, t] be a sequence of partitions of [0, t...
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ژورنال
عنوان ژورنال: Теория вероятностей и ее применения
سال: 1996
ISSN: 0040-361X
DOI: 10.4213/tvp3286