On a certain property of paths of extended stochastic integrals (Q1335932)
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scientific article; zbMATH DE number 652195
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On a certain property of paths of extended stochastic integrals |
scientific article; zbMATH DE number 652195 |
Statements
On a certain property of paths of extended stochastic integrals (English)
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8 November 1994
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The Skorokhod construction for an extended stochastic integral and derivative by using the multiple Itô integration is generalized to random variables and processes with infinite second moment. The standard result about the squared variation of Itô stochastic integrals is modified for this generalization.
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extended stochastic integral
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multiple Itô integration
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0.9296436
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0.9112753
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0.90839773
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0.90713453
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0.90426624
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