Stratonovich-type integral with respect to a general stochastic measure
Fuente:
arXiv
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Preprint |
| Veröffentlicht: |
2016
|
| Schlagworte: | |
| Online-Zugang: | |
| Tags: |
Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
|
| _version_ | 1866914877776330752 |
|---|---|
| author | Radchenko, Vadym |
| author_facet | Radchenko, Vadym |
| contents | Let $μ$ be a general stochastic measure, where we assume for $μ$ only $σ$-additivity in probability and continuity of paths. We prove that the symmetric integral $\int_{[0,T]}f(μ_t, t)\circ\,{\rm d}μ_t$ is well defined. For stochastic equations with this integral, we obtain the existence and uniqueness of a solution. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_1606_05792 |
| institution | arXiv |
| publishDate | 2016 |
| record_format | arxiv |
| spellingShingle | Stratonovich-type integral with respect to a general stochastic measure Radchenko, Vadym Probability 60H05, 60G57, 60H10, 60G17 Let $μ$ be a general stochastic measure, where we assume for $μ$ only $σ$-additivity in probability and continuity of paths. We prove that the symmetric integral $\int_{[0,T]}f(μ_t, t)\circ\,{\rm d}μ_t$ is well defined. For stochastic equations with this integral, we obtain the existence and uniqueness of a solution. |
| title | Stratonovich-type integral with respect to a general stochastic measure |
| topic | Probability 60H05, 60G57, 60H10, 60G17 |
| url | https://arxiv.org/abs/1606.05792 |