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Stochastic integration and one class of Gaussian random processes

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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.

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Authors and Affiliations

  1. Institute of Mathematics, Ukrainian Academy of Sciences, Kiev

    A. A. Dorogovtsev

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  1. A. A. Dorogovtsev
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Translated from Ukrainskii Matematicheskii Zhurnal, Vol. 50, No. 4, pp. 485–495, April, 1998.

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Dorogovtsev, A.A. Stochastic integration and one class of Gaussian random processes. Ukr Math J 50, 550–561 (1998). https://doi.org/10.1007/BF02487387

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  • DOI: https://doi.org/10.1007/BF02487387

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