A generalization of an extended stochastic integral

• Date: 2007
• Main Authors: Berezansky, Yu. M., Tesko, V. A., Березанський, Ю. М., Теско, В. А.
• Format: Article
• Language: English
• Published: Institute of Mathematics, NAS of Ukraine 2007
• Online Access: https://umj.imath.kiev.ua/index.php/umj/article/view/3334
• Journal Title: Ukrains’kyi Matematychnyi Zhurnal

We propose a generalization of an extended stochastic integral to the case of integration with respect to a broad class of random processes. In particular, we obtain conditions for the coincidence of the considered integral with the classical Itô stochastic integral.