Stochastic analysis based on deterministic Brownian motion

被引：4
|
作者：
Kamae, T [1 ]
机构：
[1] Osaka City Univ, Dept Math, Osaka 5588585, Japan
来源：
ISRAEL JOURNAL OF MATHEMATICS | 2001年 / 125卷 / 1期
关键词：
BROWNIAN Motion; Sample Path; Stochastic Analysis; Deterministic Version; Countable Dense Subset;
D O I：
10.1007/BF02773385
中图分类号：
O1 [数学];
学科分类号：
0701 ; 070101 ;
摘要：
A deterministic version of the Ito calculus is presented. We consider a model Y-t = H (N-t, t) with a deterministic Brownian N-t and an unknown function H. We predict Y-c from the observation {Y-t;t is an element of [a,b]}, where a < b < c. We prove that there exists an estimator Yt based on the observation such that E[((Y) over cap (t) - Y-c)(2)] = O((c - b)(2)) as c down arrow b.
引用
收藏
页码：317 / 346
页数：30
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