On Itô stochastic integration with respect to p-stable motion: Inner clock, integrability of sample paths, double and multiple integrals (Q1077082): Difference between revisions
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Revision as of 15:13, 10 February 2024
scientific article
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| English | On Itô stochastic integration with respect to p-stable motion: Inner clock, integrability of sample paths, double and multiple integrals |
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On Itô stochastic integration with respect to p-stable motion: Inner clock, integrability of sample paths, double and multiple integrals (English)
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1986
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An Itô-Wiener multiple p-stable integral \(\int...\int f(t_ 1,...,t_ n)M(dt_ 1)...M(dt_ n)\) is constructed. The paper contains a study of maximal and moment inequalities, random time change, and the space of integrable functions. In particular, the latter is completely described in case of double integrals \((n=2)\).
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Itô-Wiener multiple p-stable integral
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maximal and moment inequalities
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random time change
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