Stochastic integrals with respect to consistent random measures

DOI10.1023/A:1010396819595MaRDI QIDQ2722138zbMATH OpenOpenAlexFDO

Authors A. A. Dorogovtsev

Publication date 11 July 2001

Published in Ukraïns'kyĭ Matematychnyĭ Zhurnal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1023/a:1010396819595

zbMATH Keywords

adapted random measurestochastic integral

Mathematics Subject Classification ID

Random measures (60G57) Stochastic integrals (60H05) Diffusion processes (60J60)

Review text

This work is devoted to the investigation of the integral \(\int_{C}F(u)\mu(du)\), where \(C=C([0,1])\) is the space of continuous functions on \([0,1],\) \(\mu\) is a random measure on this space, \(F\) is a random map of \(C\) into itself. The random measure \(\mu\) is supposed to be adapted with the flow of \(\sigma\)-algebras generated by a Wiener process. For such measures it is turned out to define correctly well the above-mentioned integral for a wide class of random maps by finite-dimensional approximation. In this situation, Fubini's theorem is true for the adapted random maps under some auxiliary conditions.

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