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Symmetric stochastic integrals and their approximations

 

作者: Vigirdas Mackevlčlus,  

 

期刊: Stochastics  (Taylor Available online 1982)
卷期: Volume 8, issue 2  

页码: 121-138

 

ISSN:0090-9491

 

年代: 1982

 

DOI:10.1080/17442508208833232

 

出版商: Gordon and Breach Science Publishers Inc,

 

数据来源: Taylor

 

摘要:

The paper deals with a definition and an approximation of symmetric (Stratonovich) stochastic integralwith respect to Brownian motion B using the representation of a square‐integrable process X in the form. We show that a natural definition is possible provided a certain Hilbert‐Schmidt operator related to the kernel L is nuclear (trace class). Denote BΔa polygonal approximation of B corresponding to a partition Δ of [0,1] and. We prove thatandconverge in mean toas the mesh(the later case needs additional assumptionor non-randomness of L).

 

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