White noise based stochastic calculus associated with a class of Gaussian processes
Using the white noise space setting, we define and study stochastic integrals with respect to a class of stationary increment Gaussian processes. We focus mainly on continuous functions with values in the Kondratiev space of stochastic distributions, where use is made of the topology of nuclear spac...
Gespeichert in:
Veröffentlicht in: | Rocznik Akademii Górniczo-Hutniczej im. Stanisława Staszica. Opuscula Mathematica 2012, Vol.32 (3), p.401-422 |
---|---|
Hauptverfasser: | , , |
Format: | Artikel |
Sprache: | eng |
Schlagworte: | |
Online-Zugang: | Volltext |
Tags: |
Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
|
Zusammenfassung: | Using the white noise space setting, we define and study stochastic integrals with respect to a class of stationary increment Gaussian processes. We focus mainly on continuous functions with values in the Kondratiev space of stochastic distributions, where use is made of the topology of nuclear spaces. We also prove an associated Ito formula. |
---|---|
ISSN: | 1232-9274 |
DOI: | 10.7494/OpMath.2012.32.3.401 |