摘要:

In this work we derive a representation for the variation of the difference of singular components in the Skorokhod problem. in which besides the other terms the integrals from some local times are presented. In the special cases when these local times turn out to be identically equal to zero, we come to the bound of the above-mentioned variation which, in turn, is applied to the investigation of the existence and uniqueness of a strong solution of the stochastic differential system in a half-space and to the estimation of the distance in variation between the local times of two reflected (at zero) stochastic processes with the same diffusion and different drift coefficients

ISSN:0090-9491    

DOI:10.1080/17442508808833514

出版商:Gordon and Breach, Science Publishers, Inc    

年代:1988

数据来源: Taylor

摘要:

The representation of a nuclear space valued square integrable martingale by means of another nuclear space valued square integrable martingale is given in terms of stochastic inegrals of operator valued processes. The construction of the stochastic integral goes through that of operator valued processes on Hilbert spaces. A new approach is given for the Hilbertian case, so that only the integration of Hilbert-Schmidt operator valued processes is needed to represent square integrable martingales

ISSN:0090-9491    

DOI:10.1080/17442508808833515

出版商:Gordon and Breach, Science Publishers, Inc    

年代:1988

数据来源: Taylor

摘要:

We investigate asymptotic problems in variational inequalities formulated in terms of the theory of Direchlet space in relation to the study of asymptotics of the value functons of optimal stopping fo ergodic diffusion processes. Our results apply not only to reflected fiffusion processes on bounded regions but also to ergodic diffusion processes on whole Euclidean space

ISSN:0090-9491    

DOI:10.1080/17442508808833516

出版商:Gordon and Breach, Science Publishers, Inc    

年代:1988

数据来源: Taylor

摘要:

Given a stopping point in the plane, is there an optional increasing path that passes through the stopping point with probability one? The commutation Hypothesis F4 of Cairoli and Walsh was known to be a sufficient condition in continuous time, and we prove that the conditional qualitative independence Hypothesis CQI of Krengel and Sucheston is in fact necessary and sufficient. Rather surprisingly, certain stopping points may lie on a unique optional increasing path, even when the two-parameter nitration is the natural filtration ot a Rrownian sheet. In the construction of these examples, we prove a result of independent interest, namely that the solutions to certain random differentia! equations are optional increasing paths

ISSN:0090-9491    

DOI:10.1080/17442508808833517

出版商:Gordon and Breach, Science Publishers, Inc    

年代:1988

数据来源: Taylor

ISSN:0090-9491    

DOI:10.1080/17442508808833513

出版商:Gordon and Breach Science Publishers    

年代:1988

数据来源: Taylor