A generalization of an extended stochastic integral

  • Yu. M. Berezansky
  • V. A. Tesko

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.
Published
25.05.2007
How to Cite
BerezanskyY. M., and TeskoV. A. “A Generalization of an Extended Stochastic Integral”. Ukrains’kyi Matematychnyi Zhurnal, Vol. 59, no. 5, May 2007, pp. 588–617, http://umj.imath.kiev.ua/index.php/umj/article/view/3334.
Section
Research articles