Extension of a stochastic integral with respect to cylindrical martingales
Statistics & Probability Letters
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.
© 1997 Elsevier B.V.
Gawarecki, Leszek, "Extension of a stochastic integral with respect to cylindrical martingales" (1997). Mathematics Publications. 10.