Stochastic integration on partially ordered sets

Harry E. Hürzeler

Journal of Multivariate Analysis, 1985, vol. 17, issue 3, 279-303

Abstract: The stochastic integral is introduced with respect to a stochastic process X = (Xs)s[epsilon]V, where V is any general partially ordered set satisfying some mild regularity conditions. As important examples the stochastic integral is constructed with respect to a class of Gaussian processes having similarities to the Brownian motion on the real line, and also with respect to L2-martingales under an assumption of conditional independence on the underlying [sigma]-fields.

Keywords: partially; ordered; indexset; stochastic; integral; stochastic; process; martingale; function; of; bounded; variation (search for similar items in EconPapers)
Date: 1985
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