On stochastic pseudo-integrals with applications

Hamzeh Agahi and Milad Yadollahzadeh

Statistics & Probability Letters, 2017, vol. 124, issue C, 41-48

Abstract: In this paper, we expand the applicability of stochastic integrals by combining the properties of pseudo-integrals with stochastic integrals and introduce the concept of stochastic pseudo-integrals. As an application, in the class of convex stochastic processes, we give upper and lower bounds of the mean-square stochastic pseudo-integral on a semiring ([a,b],⊕,⊙), thus extending the previous results in stochastic processes.

Keywords: Stochastic processes; Stochastic integral; Pseudo-integral (search for similar items in EconPapers)
Date: 2017
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DOI: 10.1016/j.spl.2017.01.001

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