Accession Number:
AD0689432
Title:
Stochastic Integrals for Processes with Covariance
Descriptive Note:
Technical Report
Corporate Author:
WISCONSIN UNIV-MADISON MADISON
Personal Author(s):
Report Date:
1968-09-01
Pagination or Media Count:
43.0
Abstract:
The report extends the notion of the stochastic integral. The integrand is taken to be a deterministic function belonging to one or more integrated Lipschitz classes the stochastic process, with respect to which one integrates is one for which the covariance between non-overlapping fine intervals, and that between an interval and itself, are subject to certain inequalities.