Constructing a Stochastic Integral of a Nonrandom Function without Orthogonality of the Noise

DOI10.1137/S0040585X97981469MaRDI QIDQ5472359zbMATH OpenOpenAlexFDO

Authors Igor S. Borisov

Publication date 9 June 2006

Published in Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/s0040585x97981469

zbMATH Keywords

fractional Brownian motionGaussian processmultiple stochastic integral

Mathematics Subject Classification ID

Stochastic integrals (60H05)

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Cited in

(4)

• Constructing multiple stochastic integrals on non-Gaussian product measures
• Multiple stochastic integrals constructed by special expansions of products of the integrating stochastic processes
• Exponential inequalities for the distribution tails of multiple stochastic integrals with respect to Gaussian integrating processes
• Outer measures and stochastic integrals

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