On the convergence of stochastic integrals with respect to \(p\)-semimartingales (Q951213): Difference between revisions
From MaRDI portal
Set profile property. |
Set OpenAlex properties. |
||
| Property / full work available at URL | |||
| Property / full work available at URL: https://doi.org/10.1016/j.spl.2008.02.029 / rank | |||
Normal rank | |||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W2004745335 / rank | |||
Normal rank | |||
Revision as of 02:21, 20 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On the convergence of stochastic integrals with respect to \(p\)-semimartingales |
scientific article |
Statements
On the convergence of stochastic integrals with respect to \(p\)-semimartingales (English)
0 references
30 October 2008
0 references
The paper considers a new class of processes which is wider than the semimartingale class and contains the fractional Brownian motion. This new class is denoted as the class of \(p\)-semimartingales and it is constructed as the set of processes that can be written as the sum of a bounded \(p\)-variation process and a martingale. The sufficient conditions for the weal convergence of stochastic integrals with respect to \(p\)-semimartingales has been obtained. These conditions can be simplified if the integrating process is pathwise constant.
0 references
fractional Brownian motion
0 references
\(p\)-martingales
0 references
stochastic integration
0 references
