Stochastic integration for set-indexed processes

被引：0
|
作者：
Ely Merzbach
Diane Saada
机构：
[1] Bar Ilan University,Department of Mathematics and Computer Science
来源：
Israel Journal of Mathematics | 2000年 / 118卷
关键词：
Local Martingale; Local Integrator; Measurable Partition; Radon Nikodym Derivative; Finite Linear Combination;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
In this paper, we are concerned with the construction of a stochastic integral, when the integrator is a set-indexed stochastic process. For this purpose, we adopt Blei’s point of view and we get this integral by means of the bimeasure he introduced. This enables us to enlarge the class of integrators. Here, the integral is first defined for point-indexed integrands and later for set-indexed ones. Then we generalize this definition to local processes.
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页码：157 / 181
页数：24
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