- Tytuł:
- A generalized white noise space approach to stochastic integration for a class of Gaussian stationary increment processes
- Autorzy:
-
Alpay, D.
Kipnis, A. - Powiązania:
- https://bibliotekanauki.pl/articles/255154.pdf
- Data publikacji:
- 2013
- Wydawca:
- Akademia Górniczo-Hutnicza im. Stanisława Staszica w Krakowie. Wydawnictwo AGH
- Tematy:
-
stochastic integral
white noise space
fractional Brownian motion - Opis:
- Given a Gaussian stationary increment processes, we show that a Skorokhod-Hitsuda stochastic integral with respect to this process, which obeys the Wick-Itô calculus rules, can be naturally defined using ideas taken from Hida’s white noise space theory. We use the Bochner-Minlos theorem to associate a probability space to the process, and define the counterpart of the S-transform in this space. We then use this transform to define the stochastic integral and prove an associated Itô formula.
- Źródło:
-
Opuscula Mathematica; 2013, 33, 3; 395-417
1232-9274
2300-6919 - Pojawia się w:
- Opuscula Mathematica
- Dostawca treści:
- Biblioteka Nauki
Artykuł