Cargando…
Absolute continuity under time shift of trajectories and related stochastic calculus
The text is concerned with a class of two-sided stochastic processes of the form X=W+A. Here W is a two-sided Brownian motion with random initial data at time zero and A\equiv A(W) is a function of W. Elements of the related stochastic calculus are introduced. In particular, the calculus is adjusted...
| Autor principal: | |
|---|---|
| Lenguaje: | eng |
| Publicado: |
American Mathematical Society
2017
|
| Materias: | |
| Acceso en línea: | http://cds.cern.ch/record/2312748 |