Abstract
We construct a Stratonovitch-Skorohod-like stochastic integral for general Gaussian processes. We study its sample path regularity and one of its numerical approximating schemes. We also analyze the way it is transformed by an absolutely continuous change of probability and we give an Itô formula.
| Translated title of the contribution | Stochastic integration with respect to Gaussian processes |
|---|---|
| Original language | French |
| Pages (from-to) | 903-908 |
| Number of pages | 6 |
| Journal | Comptes Rendus Mathematique |
| Volume | 334 |
| Issue number | 10 |
| DOIs | |
| Publication status | Published - 30 May 2002 |