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