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Teoriya Veroyatnostei i ee Primeneniya, 1972, Volume 17, Issue 4, Pages 761–765 (Mi tvp4352)  

This article is cited in 73 scientific papers (total in 73 papers)

Short Communications

On an identity for stochastic integrals

A. A. Novikov

V. A. Steklov Mathematical Institute, USSR Academy of Sciences
Abstract: A sufficient condition is obtained for the identity
$$ \mathbf{M}\exp\biggl\{\int_0^T f(t,\omega)\,dw(t)-\frac12\int_0^T f^2(t,\omega)\,dt\biggr\}=1 $$
to hold. (Here $\int_0^T f(t,\omega)\,dw(t)$ is the stochastic integral with respect to a Wiener process $w(t)$.) This condition is shown to be close to a necessary one.
Received: 25.10.1971
English version:
Theory of Probability and its Applications, 1973, Volume 17, Issue 4, Pages 717–720
DOI: https://doi.org/10.1137/1117088
Bibliographic databases:
Document Type: Article
Language: Russian
Citation: A. A. Novikov, “On an identity for stochastic integrals”, Teor. Veroyatnost. i Primenen., 17:4 (1972), 761–765; Theory Probab. Appl., 17:4 (1973), 717–720
Citation in format AMSBIB
\Bibitem{Nov72}
\by A.~A.~Novikov
\paper On an identity for stochastic integrals
\jour Teor. Veroyatnost. i Primenen.
\yr 1972
\vol 17
\issue 4
\pages 761--765
\mathnet{http://mi.mathnet.ru/tvp4352}
\mathscinet{http://mathscinet.ams.org/mathscinet-getitem?mr=312567}
\zmath{https://zbmath.org/?q=an:0284.60054}
\transl
\jour Theory Probab. Appl.
\yr 1973
\vol 17
\issue 4
\pages 717--720
\crossref{https://doi.org/10.1137/1117088}
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  • https://www.mathnet.ru/eng/tvp/v17/i4/p761
  • This publication is cited in the following 73 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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