Sigman 1 IEOR 4700 : Introduction to stochastic integration

نویسنده

  • Karl Sigman
چکیده

(h(tj−1) can be replaced by h(sj), for any sj ∈ [tj−1, tj ].) As n gets larger and larger while the partition gets finer and finer, the approximating sum to the true area under the function becomes exact. This “dt” integration can be generalized to increments “dG(t)” of (say) any monotone increasing function G(t) by using G(tj) − G(tj−1) in place of tj − tj−1 yielding the so-called Riemann-Stieltjes integral ∫ b

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تاریخ انتشار 2007