Intégrale stochastique pour les processus gaussiens

Laurent Decreusefond

doi:10.1016/S1631-073X(02)02360-9

Intégrale stochastique pour les processus gaussiens

Laurent Decreusefond

Résultats de recherche: Contribution à un journal › Article › Revue par des pairs

Résumé

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.

Titre traduit de la contribution	Stochastic integration with respect to Gaussian processes
langue originale	Français
Pages (de - à)	903-908
Nombre de pages	6
journal	Comptes Rendus Mathematique
Volume	334
Numéro de publication	10
Les DOIs	https://doi.org/10.1016/S1631-073X(02)02360-9
état	Publié - 30 mai 2002

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10.1016/S1631-073X(02)02360-9

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Intégrale stochastique pour les processus gaussiens

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