Stochastic integrals for nonprevisible, multiparameter processes

DOI10.1007/BF01182982MaRDI QIDQ687076zbMATH OpenOpenAlexFDO

Authors Mylan Redfern, David E. Betounes

Publication date 17 November 1994

Published in Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf01182982

Ito's formula for multiparameter processes stochastic integrals of generalized multiparameter stochastic processes weak derivatives white- noise integrals

Mathematics Subject Classification ID

Generalized stochastic processes (60G20) Stochastic integrals (60H05)

Review text

The authors develop a theory of stochastic integrals of generalized multiparameter stochastic processes in the framework of the white noise analysis. Basic ingredients of this theory are the weak derivatives \({\partial X\over\partial t_ i}\) and the white-noise integrals \(\int X(t)\hat\otimes {\partial^ rW^ j\over\partial t_{i_ 1}\cdots\partial t_{i_ r}} (t)dt\) of a given generalized process \(X: {\mathbb{R}}^ N\to({\mathcal D}^*)\). Using these notions the authors establish a derivative version of Itô's formula for a process of the form \(\{F(W^ 1(t),\ldots,W^ M(t)), t\in{\mathbb{R}}^ N\}\), where \(W\) is an \(M\)-dimensional \(N\)-parameter Wiener process. On the other hand, the above white-noise integrals can be expressed in terms of multiple Skorokhod integrals which coincide with the nonmixed stochastic integrals introduced by \textit{P. Imkeller} [Z. Wahrscheinlichkeitstheorie Verw. Geb. 65, 535-562 (1984; Zbl 0557.60040)] when the integrand is previsible.

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