Relationships between measures induced by Itô and white noise linear equations

P. d'Alessandro, A. Germani and M. Piccioni

Mathematics and Computers in Simulation (MATCOM), 1984, vol. 26, issue 4, 368-372

Abstract: First some results that allow to compare Gaussian measures for C and L2 are given. Then they are applied to the theory of stochastic differential equations, proving in a simple fashion the just known fact that the Itô and white noise approach produce essentially the same measures.

Date: 1984
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Persistent link: https://EconPapers.repec.org/RePEc:eee:matcom:v:26:y:1984:i:4:p:368-372

DOI: 10.1016/0378-4754(84)90011-9

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