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Teoriya Veroyatnostei i ee Primeneniya, 1972, Volume 17, Issue 1, Pages 167–172 (Mi tvp4215)  

This article is cited in 11 scientific papers (total in 11 papers)

Short Communications

Representations of Itô Processes

M. P. Ershov
Abstract: Let $(\Omega,\mathscr{F},\mathbf{P})$ be a complete probability space. By an Itô process relative to an increasing family $\{\mathscr{F}_t\}$ of sub-$\sigma$-algebras of $\mathscr{F}$, we mean a process $\xi$ of the form
$$ \xi_t=\xi_0+\int_0^t\alpha_s\,ds+\int_0^t \beta_s\,dW_s $$
where $\alpha,\beta$ are measurable processes well adapted to $\{\mathscr{F}_t\}$, $\displaystyle\int_0^t (|\alpha_s|+\beta_{s}^2)ds<\infty$ $\forall\,t$ a.s., and $W$ is a standard Wiener process with respect to $\mathscr{F}$. We study conditions under which an Itô process $\xi$ relative to $\{\mathscr{F}_t\}$ is also an Itô process relative to a family $\{\mathscr{G}_t\}$ of “simpler” $\sigma$-algebras: $\mathscr{G}_t\subseteq\mathscr{F}_t$ for each $t$.
Received: 27.05.1970
English version:
Theory of Probability and its Applications, 1972, Volume 17, Issue 1, Pages 165–169
DOI: https://doi.org/10.1137/1117016
Bibliographic databases:
Document Type: Article
Language: Russian
Citation: M. P. Ershov, “Representations of Itô Processes”, Teor. Veroyatnost. i Primenen., 17:1 (1972), 167–172; Theory Probab. Appl., 17:1 (1972), 165–169
Citation in format AMSBIB
\Bibitem{Ers72}
\by M.~P.~Ershov
\paper Representations of It\^o Processes
\jour Teor. Veroyatnost. i Primenen.
\yr 1972
\vol 17
\issue 1
\pages 167--172
\mathnet{http://mi.mathnet.ru/tvp4215}
\mathscinet{http://mathscinet.ams.org/mathscinet-getitem?mr=300339}
\zmath{https://zbmath.org/?q=an:0301.60056}
\transl
\jour Theory Probab. Appl.
\yr 1972
\vol 17
\issue 1
\pages 165--169
\crossref{https://doi.org/10.1137/1117016}
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  • https://www.mathnet.ru/eng/tvp/v17/i1/p167
  • This publication is cited in the following 11 articles:
    Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
    Теория вероятностей и ее применения Theory of Probability and its Applications
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