An Extension of Stochastic Integrals in the Plane
Wong, Eugene ; Zakai, Moshe
Ann. Probab., Tome 5 (1977) no. 6, p. 770-778 / Harvested from Project Euclid
For a Wiener process with a two-dimensional parameter $\{W_z, z \in R_+^2\}$, four types of stochastic integrals: $\int \phi dW, \int \psi dW dW, \int \psi dW dz, \int \psi dz dW$, have been defined under the condition $$E \int \phi^2 dz < \infty \quad \text{and} \quad E \int \psi^2 dz dz' < \infty.$$ The main purpose of this note is to extend the definition of these stochastic integrals by replacing $E(\bullet) < \infty$ with $(\bullet) < \infty$ a.s. in these conditions. Our results are in fact even more general, allowing $W$ to be replaced by a strong martingale with appropriate properties.
Publié le : 1977-10-14
Classification:  Stochastic integral,  random field,  Wiener process,  multiparameter process,  60H05,  60G45
@article{1176995718,
     author = {Wong, Eugene and Zakai, Moshe},
     title = {An Extension of Stochastic Integrals in the Plane},
     journal = {Ann. Probab.},
     volume = {5},
     number = {6},
     year = {1977},
     pages = { 770-778},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176995718}
}
Wong, Eugene; Zakai, Moshe. An Extension of Stochastic Integrals in the Plane. Ann. Probab., Tome 5 (1977) no. 6, pp.  770-778. http://gdmltest.u-ga.fr/item/1176995718/