Mean value theorems for the noncausal stochastic integral (Q2135561)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Mean value theorems for the noncausal stochastic integral |
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Mean value theorems for the noncausal stochastic integral (English)
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9 May 2022
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The author defines the noncasual stochastic integral for S.D.E. He establishes a mean value theorem for the noncausal stochastic integral \(\int_s^t f (X_r)dX_r\) and based on the result shows the corresponding formulae for the noncausal integral \(\int_s^t f (X_r)d_*W_r\) or for Itô integral \(\int^t_s f (X_r)d_0 W_r\) as well.
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mean value theorem
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stochastic integrals
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Brownian motion
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noncausal stochastic calculus
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