A generalization of an extended stochastic integral

Authors

  • 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

Issue

Section

Research articles