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A formal approach to stochastic integration and differential equations

 

作者: Arthur J. Krenert,  

 

期刊: Stochastics  （Taylor Available online 1980）
卷期: Volume 3, issue 1-4  

页码: 105-125

 

ISSN:0090-9491

 

年代: 1980

 

DOI:10.1080/17442507908833141

 

出版商: Taylor & Francis Group

 

数据来源: Taylor

 

摘要:

Stochastic integrals are defined using a differential rule and the fundamental theorem of calculus. It is shown that such integrals lead to the solution of stochastic differential equations driven by a single Wiener process or square integral sample path continuous martingale

 

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