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Teoriya Veroyatnostei i ee Primeneniya, 1972, Volume 17, Issue 1, Pages 167–172
(Mi tvp4215)
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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
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
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Abstract page: | 168 | Full-text PDF : | 103 |
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