Stochastic integration on partially ordered sets

DOI10.1016/0047-259X(85)90085-5MaRDI QIDQ1068449zbMATH OpenFDO

Authors Harry E. Hürzeler

Publication date 1985

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0047-259X(85)90085-5

zbMATH Keywords

Gaussian and martingale casespartially ordered index set

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Random fields (60G60) Stochastic integrals (60H05)

Review text

A construction of a stochastic integral with respect to processes with a fairly general partially ordered index set is given. This integral is finitely additive and continuous with respect to bounded convergence of integrands. The Gaussian and martingale cases are specially considered.

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Cites work

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Cited in

(8)

• Stochastic integration for set-indexed processes
• Poisson stochastic integration in Hilbert spaces.
• The set-indexed Itô integral
• Strong solutions of stochastic differential equations for multiparameter processes
• When is an integral stochastic order generated by a poset?
• scientific article; zbMATH DE number 54542 (Why is no real title available?)
• Stochastic Orders Generated by Integrals: a Unified Study
• Constant rate distributions on partially ordered sets

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