2017
Том 69
№ 9

All Issues

A generalization of an extended stochastic integral

Albeverio S., Berezansky Yu. M., Tesko V. A.

Full text (.pdf)


Abstract

We propose a generalization of an extended stochastic integral to the case of integration with respect to a broad class of random processes. In particular, we obtain conditions for the coincidence of the considered integral with the classical Itô stochastic integral.

English version (Springer): Ukrainian Mathematical Journal 59 (2007), no. 5, pp 645-677.

Citation Example: Albeverio S., Berezansky Yu. M., Tesko V. A. A generalization of an extended stochastic integral // Ukr. Mat. Zh. - 2007. - 59, № 5. - pp. 588–617.

Full text