A multiparameter stochastic integral and forward equations

E. M. Cabana

Stochastic Processes and their Applications, 1984, vol. 18, issue 1, 67-79

Abstract: Integrals of the form [infinity][latin small letter f with hook](x) d[psi] (x, w(x)) are defined for nonanticipating processes f with respect to the composition of regular functions [psi] and a Wiener process with parameter in ([phi])d. Using such integrals, a forward differential equation (23) is established for the density of a Wiener process killed when it reaches one or two constant barriers.

Keywords: stochastic; integrals; multiparameter; Wiener; process; diffusion; equations (search for similar items in EconPapers)
Date: 1984
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