Title

Extension of a stochastic integral with respect to cylindrical martingales

Document Type

Article

Publication Date

6-2-1997

Publication Title

Statistics & Probability Letters

Abstract

We extend stochastic integral of Metivier and Pellaumail with respect to cylindrical martingales which is necessary for constructing a Hilbert space-valued diffusion based on Nelson's kinematic theory of stochastic motion. Examples for inadequacy of existing stochastic integrals are provided.

Volume

34

Issue

2

First Page

103

Last Page

111

DOI

10.1016/S0167-7152(96)00171-X

ISSN

0167-7152

Rights

© 1997 Elsevier B.V.

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