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Problemy Fiziki, Matematiki i Tekhniki (Problems of Physics, Mathematics and Technics), 2011, Issue 3(8), Pages 50–56 (Mi pfmt110)  

MATHEMATICS

Generalized stochastic integral with respect to continuous martingale

N. V. Bedziuk

Belarusian State University, Minsk
References:
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
Document Type: Article
UDC: 519.21
Language: Russian
Citation: N. V. Bedziuk, “Generalized stochastic integral with respect to continuous martingale”, PFMT, 2011, no. 3(8), 50–56
Citation in format AMSBIB
\Bibitem{Bed11}
\by N.~V.~Bedziuk
\paper Generalized stochastic integral with respect to continuous martingale
\jour PFMT
\yr 2011
\issue 3(8)
\pages 50--56
\mathnet{http://mi.mathnet.ru/pfmt110}
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  • https://www.mathnet.ru/eng/pfmt/y2011/i3/p50
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    Проблемы физики, математики и техники
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