Stochastic processes with finite semivariation in Banach spaces and their stochastic integral (Q1303901)
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scientific article; zbMATH DE number 1339491
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| English | Stochastic processes with finite semivariation in Banach spaces and their stochastic integral |
scientific article; zbMATH DE number 1339491 |
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Stochastic processes with finite semivariation in Banach spaces and their stochastic integral (English)
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13 July 2000
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The paper is a continuation of works of \textit{J. K. Brooks} and the author [in: Stochastic processes. Prog. Probab. 24, 27-115 (1991; Zbl 0772.60040) and Atti Semin. Mat. Fis. Univ. Modena 43, No. 2, 317-361 (1995; Zbl 0869.46023)] and the author [J. Theor. Probab. 1, No. 2, 149-169 (1988; Zbl 0647.60062)]. The author studies the Banach-valued processes with integrable semivariation. The stochastic integral for such processes can be defined and can be computed pathwise as a Stieltjes integral with respect to a function with finite semivariation (rather than finite variation; note also that for a scalar valued function the variation and the semivariation are equal).
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stochastic integrals
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0.8734238147735596
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0.8615891933441162
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