Theorems of Fubini type for iterated stochastic integrals
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- by Marc A. Berger and Victor J. Mizel PDF
- Trans. Amer. Math. Soc. 252 (1979), 249-274 Request permission
Abstract:
An extension of the Itô calculus which treats iterated Itô integration, as applied to a class of two-parameter processes, is introduced. This theory includes the integration of certain anticipative integrands and introduces a notion of stochastic differential for such integrands. Among the key results is a version of Fubini’s theorem for iterated stochastic integrals, in which a “correction” term appears. Applications to stochastic integral equations and to the Itô calculus are given, and the relation of the present development to recent work of Ogawa is described.References
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Additional Information
- © Copyright 1979 American Mathematical Society
- Journal: Trans. Amer. Math. Soc. 252 (1979), 249-274
- MSC: Primary 60H05; Secondary 60H20, 93E20
- DOI: https://doi.org/10.1090/S0002-9947-1979-0534121-3
- MathSciNet review: 534121