STOCHASTIC INTEGRATION OF PROCESSES WITH FINITE GENERALIZED VARIATIONS .1.

被引：1
|
作者：
TOWGHI, N
机构：
来源：
ANNALS OF PROBABILITY | 1995年 / 23卷 / 02期
关键词：
STOCHASTIC INTEGRATION; GENERALIZED VARIATIONS; BIMEASURES; RIEMANN-STIELTJES SUMS; FRECHET VARIATION;
D O I：
10.1214/aop/1176988282
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
In this paper the L(1)-stochastic integral and the mixed stochastic integral of a process Y with respect to a process X is defined in a way that extends Riemann-Stieltjes integration of deterministic functions with respect to X. The L(1)-integral will include the classical Ito integral. However, the concepts of ''filtration'' and adaptability do not play any role; instead, the p-variation of Dolean functions of the processes X and Y is the determining factor.
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页码：629 / 667
页数：39
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