ABOUT ONE CONSTRUCTION OF STOCHASTIC INTEGRAL.

Authors :: Tikanadze, Luka
Source :: Reports of Enlarged Sessions of Seminar of I. Vekua Institute of Applied Mathematics; 2017, Issue 31, p139-142, 4p
Publication Year :: 2017
Abstract: We study the so called backward stochastic integral which in one specific case has been introduced by McKean (1969), but we consider a case when the integrand in addition depends on random and time variables. In particular, the class of integrable in such sense integrands is described, the relationships with both of Ito's and Stratanovich's integrals are established and the change of veriables rule (the analogous of Ito's formula) is given. [ABSTRACT FROM AUTHOR]

Subjects :: STOCHASTIC analysis
MATHEMATICAL analysis
STOCHASTIC processes
STOCHASTIC integrals
INTEGRALS

Language :: English
ISSN :: 15120066
Issue :: 31
Database :: Complementary Index
Journal :: Reports of Enlarged Sessions of Seminar of I. Vekua Institute of Applied Mathematics
Publication Type :: Academic Journal
Accession number :: 127908392

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