Extension of a stochastic integral with respect to cylindrical martingales

Leszek Gawarecki

Statistics & Probability Letters, 1997, vol. 34, issue 2, 103-111

Abstract: We extend stochastic integral of Metivier and Pellaumail with respect to cylindrical martingales which is necessary for constructing a Hilbert space-valued diffusion based on Nelson's kinematic theory of stochastic motion. Examples for inadequacy of existing stochastic integrals are provided.

Keywords: Stochastic; integral; Cylindrical; martingales (search for similar items in EconPapers)
Date: 1997
References: View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0167-7152(96)00171-X
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:stapro:v:34:y:1997:i:2:p:103-111

Ordering information: This journal article can be ordered from
http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

Access Statistics for this article

Statistics & Probability Letters is currently edited by Somnath Datta and Hira L. Koul

More articles in Statistics & Probability Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().