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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