On the Approximation of Ito Integrals Using Band-Limited Processes

DOI10.1137/0312018zbMath0253.93032OpenAlexW2026780661MaRDI QIDQ5668693

A. V. Balakrishnan

Publication date: 1974

Published in: SIAM Journal on Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/0312018

Mathematics Subject Classification ID

Estimation and detection in stochastic control theory (93E10) Survival analysis and censored data (62N99) Stochastic integrals (60H05)

Related Items (4)

Boundary value processes: Estimation and identification ⋮ On polygonal approximation of brownian motion in stochastic integral ⋮ Symmetric stochastic integrals and their approximations ⋮ Approximating multiple itô integrals with "band limited" processes

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