Stochastic integration and one class of Gaussian random processes

  • 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
How to Cite
DorogovtsevA. 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.
Section
Research articles