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

How to Cite

Berezansky, Yu. M., and V. A. Tesko. “A Generalization of an Extended Stochastic Integral”. Ukrains’kyi Matematychnyi Zhurnal, vol. 59, no. 5, May 2007, pp. 588–617, https://umj.imath.kiev.ua/index.php/umj/article/view/3334.