On the integral representation of functionals of ltd processest†
作者:
U. G. Haussmann,
期刊:
Stochastics
(Taylor Available online 1980)
卷期:
Volume 3,
issue 1-4
页码: 17-27
ISSN:0090-9491
年代: 1980
DOI:10.1080/17442507908833134
出版商: Taylor & Francis Group
数据来源: Taylor
摘要:
If z is the unique solution of the Itô equationand if L is a differentiable functional of the (continuous trajectories of z, then we show thatwhere μzis the function of bounded variation corresponding to the derivative ofL(z), where ø is the fundamental matrix solutiion ogf the linearized version of the zbove Itô equation, and whereis the algebra generated byw(s),s≦t.
点击下载:
PDF (271KB)
返 回