Stratonovich-type integral with respect to a general stochastic measure

DOI10.1080/17442508.2016.1197924MaRDI QIDQ2833715zbMATH OpenOpenAlexFDO

Authors V. Radchenko

Publication date 25 November 2016

Published in Stochastics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1606.05792

zbMATH Keywords

stochastic integralsstochastic equationsStratonovich integralstochastic measureDoss-Sussmann transformationstrong cubic variation

Mathematics Subject Classification ID

Random measures (60G57) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Sample path properties (60G17) Stochastic integrals (60H05)

Abstract: Let $mu$ be a general stochastic measure, where we assume for $mu$ only $sigma$-additivity in probability and continuity of paths. We prove that the symmetric integral $in{t}_{[0,T]}f(m{u}_t,t)circ,mdm{u}_t$ is well defined. For stochastic equations with this integral, we obtain the existence and uniqueness of a solution.

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