Relationships between measures induced by Itô and white noise linear equations (Q799033)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Relationships between measures induced by Itô and white noise linear equations |
scientific article; zbMATH DE number 3872416
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Relationships between measures induced by Itô and white noise linear equations |
scientific article; zbMATH DE number 3872416 |
Statements
Relationships between measures induced by Itô and white noise linear equations (English)
0 references
1984
0 references
Brownian motion and Wiener integrals are obtained formally from an Itô model for a linear differential equation driven by white noise whose solution is a Gaussian measure on C. The paper demonstrates that the Itô approach and the white noise approach produce essentially the same measures.
0 references
Gaussian measure
0 references
