Relationships between measures induced by Itô and white noise linear equations
type: Item
instance of: scholarly article
title: Relationships between measures induced by Itô and white noise linear equations
zbMATH Open document ID: 0547.60061
DOI: 10.1016/0378-4754(84)90011-9
published in: Mathematics and Computers in Simulation
publication date: 1984-01-01T00:00:00Z
review text: 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.
Mathematics Subject Classification ID: 60H10
Mathematics Subject Classification ID: 60J65
zbMATH DE Number: 3872416
zbMATH Keywords: Gaussian measure
author: Paolo D'Alessandro
author: A. Germani
author: Mauro Piccioni
reviewed by: G. Adomian
MaRDI profile type: Publication
full work available at URL: 0378-4754(84)90011-9
OpenAlex ID: W2054309136
cites work: Q4064239
cites work: Q4099504
cites work: Gaussian measures on a Banach space
cites work: Q4174025
cites work: Q3878440
cites work: Q5657423
description: scientific article; zbMATH DE number 3872416