Stochastic Integrals for Processes with Covariance
WISCONSIN UNIV-MADISON MADISON
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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.