Article
Extension of a stochastic integral with respect to cylindrical martingales
Statistics & Probability Letters
Document Type
Article
Publication Date
6-2-1997
Abstract
We extend stochastic integral of Metivier and Pellaumail with respect to cylindrical martingales which is necessary for constructing a Hilbert space-valued diffusion based on Nelson's kinematic theory of stochastic motion. Examples for inadequacy of existing stochastic integrals are provided.
Disciplines
DOI
10.1016/S0167-7152(96)00171-X
Rights
© 1997 Elsevier B.V.
Citation Information
Leszek Gawarecki. "Extension of a stochastic integral with respect to cylindrical martingales" Statistics & Probability Letters Vol. 34 Iss. 2 (1997) p. 103 - 111 ISSN: 0167-7152 Available at: http://works.bepress.com/leszek-gawarecki/2/