Mean value theorems for stochastic integrals
Krylov, N. V.
Ann. Probab., Tome 29 (2001) no. 1, p. 385-410 / Harvested from Project Euclid
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The distributions of stochastic integrals are approximated by the distributions of stochastic integrals of piece-wise constant processes. The rate of approximation in some negative Sobolev spaces is estimated. Generalizations are given for problems arising in control theory.
Publié le : 2001-02-14
Classification:  Stochastic integrals,  stochastic control,  numerical approximations,  93E20,  65M12 
@article{1008956335,
     author = {Krylov, N. V.},
     title = {Mean value theorems for stochastic integrals},
     journal = {Ann. Probab.},
     volume = {29},
     number = {1},
     year = {2001},
     pages = { 385-410},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1008956335}
}

Krylov, N. V. Mean value theorems for stochastic integrals. Ann. Probab., Tome 29 (2001) no. 1, pp.  385-410. http://gdmltest.u-ga.fr/item/1008956335/