Pérez, Josefa Linares - In: Statistics & Probability Letters 18 (1993) 2, pp. 129-135
Let W(t) be a G-valued Brownian motion with covariance operator . Stochastic integrals [integral operator]t0[xi](s) dW(s) are defined for non-anticipating H-valued processes. A version of Itô's formula for functions of stochastic processes defined in terms of stochastic integrals [integral...