On stochastic integration and differentiation (Q1969265)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On stochastic integration and differentiation |
scientific article |
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On stochastic integration and differentiation (English)
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8 August 2000
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This short note presents a method to identify the integrands \((\varphi_j)_{j=1}^n\) for a martingale \(\xi_t=\sum_{j=1}^n\int_0^t\varphi_j d\eta^j_t\), \((\eta^j)_{j=1}^n\) being independent Brownian motions, in a measurable way. The quintessence of the method is an \(L^2\)-limit of certain approximations to the quadratic covariation between \(\xi\) and \(\eta^j\).
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measurable modification
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stochastic integration
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Itô martingale representation theorem
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