Stochastic Calculus with Respect to Gaussian Processes
نویسندگان
چکیده
منابع مشابه
Stochastic Integration with respect to Gaussian Processes
We construct a Stratonovitch-Skorohod-like stochastic integral for general Gaussian processes. We study its sample-paths regularity and one of its numerical approximating schemes. We also analyze the way it is transformed by an absolutely continuous change of probability and we give an Itô formula. c 2001 Académie des sciences/Éditions scientifiques et médicales Elsevier SAS Intégrale stochasti...
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ژورنال
عنوان ژورنال: The Annals of Probability
سال: 2001
ISSN: 0091-1798
DOI: 10.1214/aop/1008956692