An elementary introduction to the Wiener process and stochastic integrals

zbMath0845.60084arXiv1008.1510MaRDI QIDQ4877621

Tamas Szabados

Publication date: 2 September 1996

Full work available at URL: https://arxiv.org/abs/1008.1510

zbMATH Keywords

Wiener processItô formulasymmetric random walksStratonovich sense stochastic integrals

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Strong limit theorems (60F15) Brownian motion (60J65) Stochastic integrals (60H05)

Related Items (8)

Strong approximation of fractional Brownian motion by moving averages of simple random walks. ⋮ Fourier expansions with polynomial terms for random processes ⋮ Self-intersection local time of planar Brownian motion based on a strong approximation by random walks ⋮ ON THE CONVERGENCE OF DISCRETE PROCESSES WITH MULTIPLE INDEPENDENT VARIABLES ⋮ Covariance estimation error of incomplete functional data under RKHS framework ⋮ A strong uniform approximation of fractional Brownian motion by means of transport processes ⋮ An exponential functional of random walks ⋮ Stochastic integration based on simple, symmetric random walks

This page was built for publication: An elementary introduction to the Wiener process and stochastic integrals