Stieltjes Integrals

Uwe Hassler

Chapter 9 in Stochastic Processes and Calculus, 2016, pp 199-211 from Springer

Abstract: Abstract Below, we will encounter Riemann-Stieltjes integrals (or more briefly: Stieltjes integrals) as solutions of certain stochastic differential equations. They can be reduced to the sum of a Riemann integral and a multiple of the Wiener process. Stieltjes integrals are again Gaussian. As an example we consider the Ornstein-Uhlenbeck process which is defined by a Stieltjes integral and which will be dealt with in detail in the chapter on interest rate models.

Keywords: Random Walk; Gaussian Process; Stochastic Differential Equation; Financial Economic; Wiener Process (search for similar items in EconPapers)
Date: 2016
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DOI: 10.1007/978-3-319-23428-1_9

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