STOCHASTIC INTEGRALS AND STOCHASTIC FUNCTIONAL EQUATIONS

被引：29

作者：

MCSHANE, EJ

机构：

来源：

SIAM JOURNAL ON APPLIED MATHEMATICS | 1969年 / 17卷 / 02期

关键词：

D O I：

10.1137/0117029

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

Definition of stochastic integral by apparently trifling yet effective modification of Riemann procedure; integral exists under hypotheses which, compared with those for Ito integral, are stronger with regard to continuity properties but weaker with regard to stochastic properties; in particular, Z does not have to be martingale; when hypotheses for existence of both integrals are satisfied, integrals agree.

引用

页码：287 / &