Stochastic integration and one class of Gaussian random processes

Authors

  • A. A. Dorogovtsev

Abstract

We consider one class of Gaussian random processes that are not semimartingales but their increments can play the role of a random measure. For an extended stochastic integral with respect to the processes considered, we obtain the Itô formula.

Published

25.04.1998

Issue

Section

Research articles

How to Cite

Dorogovtsev, A. A. “Stochastic Integration and One Class of Gaussian Random Processes”. Ukrains’kyi Matematychnyi Zhurnal, vol. 50, no. 4, Apr. 1998, pp. 485–495, https://umj.imath.kiev.ua/index.php/umj/article/view/4918.