On a stochastic differentiation formula for Hilbert-Schmidt valued stochastic integrals

Josefa Linares Pérez

Statistics & Probability Letters, 1993, vol. 18, issue 2, 129-135

Abstract: Let W(t) be a G-valued Brownian motion with covariance operator . Stochastic integrals [integral operator]t0[xi](s) dW(s) are defined for non-anticipating H-valued processes. A version of Itô's formula for functions of stochastic processes defined in terms of stochastic integrals [integral operator]t0[xi](s) dW(s) is studied.

Keywords: Ito's; formula; stochastic; integral (search for similar items in EconPapers)
Date: 1993
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