Relationships between measures induced by Itô and white noise linear equations

First some results that allow to compare Gaussian measures for C and L2 are given. Then they are applied to the theory of stochastic differential equations, proving in a simple fashion the just known fact that the Itô and white noise approach produce essentially the same measures.

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Year of publication:	1984
Authors:	d'Alessandro, P. ; Germani, A. ; Piccioni, M.
Published in:	Mathematics and Computers in Simulation (MATCOM). - Elsevier, ISSN 0378-4754. - Vol. 26.1984, 4, p. 368-372
Publisher:	Elsevier

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

Persistent link: https://www.econbiz.de/10010749284