On pathwise stochastic integration
AbstractIn this article, we construct a mapping : D[0, [infinity])xD[0,[infinity])-->D[0,[infinity]) such that if (Xt) is a semimartingale on a probability space ([Omega], , P) with respect to a filtration (t) and if (ft) is an r.c.l.l. (t) adapted process, then This is of significance when using stochastic integrals in statistical inference problems. Similar results on solutions to SDEs are also given.
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Bibliographic InfoArticle provided by Elsevier in its journal Stochastic Processes and their Applications.
Volume (Year): 57 (1995)
Issue (Month): 1 (May)
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Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/505572/description#description
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