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Problemy Fiziki, Matematiki i Tekhniki (Problems of Physics, Mathematics and Technics), 2011, Issue 3(8), Pages 50–56
(Mi pfmt110)
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MATHEMATICS
Generalized stochastic integral with respect to continuous martingale
N. V. Bedziuk Belarusian State University, Minsk
Abstract:
Stochastic integral with respect to continuous martingale is considered in the algebra of generalized stochastic processes. The sufficient conditions when the above generalized stochastic process associates an ordinary stochastic process are formulated. The explicit form of the ordinary stochastic process is described.
Keywords:
algebra of generalized stochastic processes, martingale, stochastic integral.
Received: 26.04.2011
Citation:
N. V. Bedziuk, “Generalized stochastic integral with respect to continuous martingale”, PFMT, 2011, no. 3(8), 50–56
Linking options:
https://www.mathnet.ru/eng/pfmt110 https://www.mathnet.ru/eng/pfmt/y2011/i3/p50
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Statistics & downloads: |
Abstract page: | 162 | Full-text PDF : | 51 | References: | 24 |
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