论文信息 - Stochastic Calculus with Respect to Gaussian Processes

Stochastic Calculus with Respect to Gaussian Processes

In this paper we develop a stochastic calculus with respect to a Gaussian process of the form B t = ∫ t 0 K(t, s) dW s , where W is a Wiener process and K(t, s) is a square integrable kernel, using the techniques of the stochastic calculus of variations. We deduce change-of-variable formulas for the indefinite integrals and we study the approximation by Riemann sums. The particular case of the fractional Brownian motion is discussed.

O. Mazet | D. Nualart | E. Alòs

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