A note on stochastic integrals as $L^2$-curves
Fuente:
arXiv
Saved in:
| Main Author: | |
|---|---|
| Format: | Preprint |
| Published: |
2019
|
| Subjects: | |
| Online Access: | |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| _version_ | 1866912719672705024 |
|---|---|
| author | Tappe, Stefan |
| author_facet | Tappe, Stefan |
| contents | In a work of van Gaans (2005a) stochastic integrals are regarded as $L^2$-curves. In Filipović and Tappe (2008) we have shown the connection to the usual Itô-integral for càdlàg-integrands. The goal of this note is to complete this result and to provide the full connection to the Itô-integral. We also sketch an application to stochastic partial differential equations. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_1907_03258 |
| institution | arXiv |
| publishDate | 2019 |
| record_format | arxiv |
| spellingShingle | A note on stochastic integrals as $L^2$-curves Tappe, Stefan Probability 60H05, 60H15 In a work of van Gaans (2005a) stochastic integrals are regarded as $L^2$-curves. In Filipović and Tappe (2008) we have shown the connection to the usual Itô-integral for càdlàg-integrands. The goal of this note is to complete this result and to provide the full connection to the Itô-integral. We also sketch an application to stochastic partial differential equations. |
| title | A note on stochastic integrals as $L^2$-curves |
| topic | Probability 60H05, 60H15 |
| url | https://arxiv.org/abs/1907.03258 |