Vector Measures of Bounded γ-variation and Stochastic Integrals

DOI10.1007/978-3-0346-0211-2_27MaRDI QIDQ2909330zbMATH OpenOpenAlexFDO

Authors Jan van Neerven, Lutz Weis

Publication date 30 August 2012

Published in Vector Measures, Integration and Related Topics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0906.1883

zbMATH Keywords

vector measuresstochastic integrationbounded randomized variation

Mathematics Subject Classification ID

Vector-valued measures and integration (46G10) Stochastic integrals (60H05)

Abstract: We introduce the class of vector measures of bounded $gamma$-variation and study its relationship with vector-valued stochastic integrals with respect to Brownian motions.

Cited in

(2)

• A characterization of Gibbs measures on \(C(0,1)^{\mathbb{Z}^ d}\) by the stochastic calculus of variations
• Multivariate stochastic integrals with respect to independently scattered random measures on $\delta$-rings

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