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.

引用

页码：629 / 667

页数：39

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