Stratonovich-type integral with respect to a general stochastic measure

DOI10.1080/17442508.2016.1197924zbMATH Open1352.60075arXiv1606.05792OpenAlexW2465261529MaRDI QIDQ2833715FDOQ2833715

Authors: V. Radchenko 

Publication date: 25 November 2016

Published in: Stochastics (Search for Journal in Brave)

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.

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

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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)

Cited In (8)

• Regularity of measures induced by solutions of infinite dimensional stochastic differential equations
• Integral equations with respect to a general stochastic measure
• Title not available (Why is that?)
• Transport equation driven by a stochastic measure
• An extension of the ventcel- freidlin large deviation principle
• Averaging principle for equation driven by a stochastic measure
• Equality of symmetric stochastic integral and Itô and Stratonovich integrals
• Fourier series expansion of stochastic measures

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