Karandikar, Rajeeva L. (1995) On pathwise stochastic integration Stochastic Processes and their Applications, 57 (1). pp. 11-18. ISSN 0304-4149
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Official URL: http://linkinghub.elsevier.com/retrieve/pii/030441...
Related URL: http://dx.doi.org/10.1016/0304-4149(95)00002-O
Abstract
In this article, we construct a mapping I: D[0, ∞)×D[0,∞)→D[0,∞) such that if (Xt) is a semimartingale on a probability space (O, F, P) with respect to a filtration (F t) and if (ft) is an r.c.l.l. ( Ft) adapted process, then I(.(ω).X.(ω))=∫0-dX(ω)a.s. This is of significance when using stochastic integrals in statistical inference problems. Similar results on solutions to SDEs are also given.
| Item Type: | Article |
|---|---|
| Source: | Copyright of this article belongs to Elsevier Science. |
| Keywords: | Brownian Motion; Semimartingale; Stochastic Integral |
| ID Code: | 18404 |
| Deposited On: | 17 Nov 2010 09:16 |
| Last Modified: | 17 May 2016 03:08 |
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