ON PATHWISE STOCHASTIC INTEGRATION

被引：106

作者：

KARANDIKAR, RL

机构：

[1] Indian Statistical Institute, New Delhi, 110016

来源：

STOCHASTIC PROCESSES AND THEIR APPLICATIONS | 1995年 / 57卷 / 01期

关键词：

BROWNIAN MOTION; SEMIMARTINGALE; STOCHASTIC INTEGRAL;

D O I：

10.1016/0304-4149(95)00002-O

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 article, we construct a mapping J:D[0, infinity)xD[0, infinity)-->D[0, infinity) such that if (X(t)) is a semimartingale on a probability space (Omega, F, P) with respect to a filtration (F-t) and if (f(t)) is an r.c.l.l. (F-t) adapted process, then J(f.(omega),X.(omega)=integral(0)f_ dX(omega) a.s. This is of significance when using stochastic integrals in statistical inference problems. Similar results on solutions to SDEs are also given.

引用

页码：11 / 18

页数：8

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[4]

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[9]

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[10]

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