A change of variable formula with Itô correction term (Q1958460): Difference between revisions
From MaRDI portal
Created a new Item |
Added link to MaRDI item. |
||
links / mardi / name | links / mardi / name | ||
Revision as of 17:36, 1 February 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | A change of variable formula with Itô correction term |
scientific article |
Statements
A change of variable formula with Itô correction term (English)
0 references
29 September 2010
0 references
The authors consider the stochastic heat equation involving a space-time white noise. Its solution, considered as a function of time, is a continuous centered Gaussian process and has a non-trivial quartic variation. It follows that it is not a semimartingale, so a stochastic integral with respect to it can not be defined in the classical Itô sense. In this connection, the new construction of a stochastic integral is proposed, where the integral is a limit of midpoint-style discrete Riemann sums, and the limit is taken in distribution in the Skorokhod space of cadlag functions. The Itô-type correction term in the change of variable formula is an ordinary Itô integral with respect to a Brownian motion that is independent of initial process that is integrated.
0 references
Stochastic integration
0 references
quartic variation
0 references
quadratic variation
0 references
stochastic partial differential equations
0 references
long-range dependence
0 references
iterated Brownian motion
0 references
fractional Brownian motion
0 references
self-similar processes
0 references