The set-indexed Itô integral (Q2565878): Difference between revisions

From MaRDI portal
Importer (talk | contribs)
Created a new Item
 
ReferenceBot (talk | contribs)
Changed an Item
 
(4 intermediate revisions by 3 users not shown)
Property / reviewed by
 
Property / reviewed by: Yuliya S. Mishura / rank
Normal rank
 
Property / reviewed by
 
Property / reviewed by: Yuliya S. Mishura / rank
 
Normal rank
Property / MaRDI profile type
 
Property / MaRDI profile type: MaRDI publication profile / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4001807 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Multi-linear measure theory and multiple stochastic integration / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stochastic integrals in the plane / rank
 
Normal rank
Property / cites work
 
Property / cites work: Doob-Meyer decomposition for set-indexed submartingales / rank
 
Normal rank
Property / cites work
 
Property / cites work: On the general theory of random fields on the plane / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stochastic integrals on general topological measurable spaces / rank
 
Normal rank
Property / cites work
 
Property / cites work: A martingale characterization of the set-indexed poisson process / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stopping and set-indexed local martingales / rank
 
Normal rank
Property / cites work
 
Property / cites work: A martingale characterization of the set-indexed Brownian motion / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4264743 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Predictability and stopping on lattices of sets / rank
 
Normal rank
Property / cites work
 
Property / cites work: Martingales and Stochastic Integrals / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stochastic integration for set-indexed processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Strong martingales: Their decompositions and quadratic variation / rank
 
Normal rank
links / mardi / namelinks / mardi / name
 

Latest revision as of 15:52, 10 June 2024

scientific article
Language Label Description Also known as
English
The set-indexed Itô integral
scientific article

    Statements

    The set-indexed Itô integral (English)
    0 references
    0 references
    0 references
    28 September 2005
    0 references
    The authors develop a notion of stochastic integration where the role of integrator is played by a set-indexed martingale. The set-indexed theory needs a class of Borel sets of a fixed topological space \(T\). Necessary and sufficient conditions on such class are formulated. The core set of conditions is close to that found in earlier works and is essential for the definition of an appropriate notion of martingale in set-indexed setting. The flexible notion of quadratic variation for such martingale is introduced and the set-indexed Itô integral with \(T\)-indexed integrands is constructed. Then a local version of this notion is discussed. Consistency and independence on the localizing sequence are established by extending classic stopping identities to the set-indexed framework. A novel form of predictability is also introduced. Then, the Itô integral is extended to the case of set-indexed integrands. An interesting result is that any sample-path continuous set-indexed Brownian motion can play the role of both integrator and integrand.
    0 references
    set-indexed martingales
    0 references
    Itô-type stochastic integral
    0 references
    stopping set
    0 references

    Identifiers

    0 references
    0 references
    0 references
    0 references
    0 references