首页   按字顺浏览 期刊浏览 卷期浏览 Local times for a class of multi-parameter processes
Local times for a class of multi-parameter processes

 

作者: Peter Imkeller,  

 

期刊: Stochastics  (Taylor Available online 1984)
卷期: Volume 12, issue 2  

页码: 143-157

 

ISSN:0090-9491

 

年代: 1984

 

DOI:10.1080/17442508408833297

 

出版商: Gordon and Breach Science Publishers Inc

 

数据来源: Taylor

 

摘要:

Given p≧1, letXbe a real-valued, continuousN-parameter process, submitted to a “domination condition” which ensures the existence of itskth variations μX(k) 1≦k≦k0p-stochastic measures which are the multi-parameter analogues of the “variation”dXand the “quadratic variation” d[X] of one-parameter semimartingales. This condition is fulfilled for example for processes of integrable variation, for the (N,1)-Wiener process W,or, more generally in case N=2, for those “representable semimartingales” (Wong Zakai or Guyon, Prum) which have sufficiently well-behaved representing functionals. Furthermore, it allows us to establish a stochastic calculus in Lpsense forXwith a simple version of Itô's formula in terms of the integrals ofμX(k),1≦k≦k0.

 

点击下载:  PDF (789KB)



返 回