On pathwise stochastic integration

In this article, we construct a mapping : D[0, [infinity])xD[0,[infinity])-->D[0,[infinity]) such that if (Xt) is a semimartingale on a probability space ([Omega], , P) with respect to a filtration (t) and if (ft) is an r.c.l.l. (t) adapted process, then This is of significance when using stochastic integrals in statistical inference problems. Similar results on solutions to SDEs are also given.

MoreLess

Year of publication:	1995
Authors:	Karandikar, Rajeeva L.
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 57.1995, 1, p. 11-18
Publisher:	Elsevier
Subject:	Brownian motion Semimartingale Stochastic integral

More details

Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008875703