Stochastic integration and one class of Gaussian random processes
We consider one class of Gaussian random processes that are not semimartingales but their increments can play the role of a random measure. For an extended stochastic integral with respect to the processes considered, we obtain the Itô formula.
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| Date: | 1998 |
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| Main Authors: | , |
| Format: | Article |
| Language: | Russian English |
| Published: |
Institute of Mathematics, NAS of Ukraine
1998
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| Online Access: | https://umj.imath.kiev.ua/index.php/umj/article/view/4918 |
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| Journal Title: | Ukrains’kyi Matematychnyi Zhurnal |
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Ukrains’kyi Matematychnyi Zhurnal| _version_ | 1860511102781095936 |
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| author | Dorogovtsev, A. A. Дороговцев, А. А. Дороговцев, А. А. |
| author_facet | Dorogovtsev, A. A. Дороговцев, А. А. Дороговцев, А. А. |
| author_sort | Dorogovtsev, A. A. |
| baseUrl_str | https://umj.imath.kiev.ua/index.php/umj/oai |
| collection | OJS |
| datestamp_date | 2020-03-18T21:17:16Z |
| description | We consider one class of Gaussian random processes that are not semimartingales but their increments can play the role of a random measure. For an extended stochastic integral with respect to the processes considered, we obtain the Itô formula. |
| first_indexed | 2026-03-24T03:07:34Z |
| format | Article |
| fulltext |
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| id | umjimathkievua-article-4918 |
| institution | Ukrains’kyi Matematychnyi Zhurnal |
| keywords_txt_mv | keywords |
| language | rus English |
| last_indexed | 2026-03-24T03:07:34Z |
| publishDate | 1998 |
| publisher | Institute of Mathematics, NAS of Ukraine |
| record_format | ojs |
| resource_txt_mv | umjimathkievua/d4/63ddaf7a67704fb082de0647e1498ad4.pdf |
| spelling | umjimathkievua-article-49182020-03-18T21:17:16Z Stochastic integration and one class of Gaussian random processes Стохастическое интегрирование и один класс гауссовских случайных процессов Dorogovtsev, A. A. Дороговцев, А. А. Дороговцев, А. А. We consider one class of Gaussian random processes that are not semimartingales but their increments can play the role of a random measure. For an extended stochastic integral with respect to the processes considered, we obtain the Itô formula. Розглянуто клас гауссівських випадкових процесів таких, що не є семімартингалами, але прирости яких можуть грати роль випадкової міри. Для розширеного стохастичного інтегралу за такими процесами отримано формулу Іто. Institute of Mathematics, NAS of Ukraine 1998-04-25 Article Article application/pdf https://umj.imath.kiev.ua/index.php/umj/article/view/4918 Ukrains’kyi Matematychnyi Zhurnal; Vol. 50 No. 4 (1998); 485–495 Український математичний журнал; Том 50 № 4 (1998); 485–495 1027-3190 rus en https://umj.imath.kiev.ua/index.php/umj/article/view/4918/6535 https://umj.imath.kiev.ua/index.php/umj/article/view/4918/6536 Copyright (c) 1998 Dorogovtsev A. A. |
| spellingShingle | Dorogovtsev, A. A. Дороговцев, А. А. Дороговцев, А. А. Stochastic integration and one class of Gaussian random processes |
| title | Stochastic integration and one class of Gaussian random processes |
| title_alt | Стохастическое интегрирование и один класс гауссовских случайных процессов |
| title_full | Stochastic integration and one class of Gaussian random processes |
| title_fullStr | Stochastic integration and one class of Gaussian random processes |
| title_full_unstemmed | Stochastic integration and one class of Gaussian random processes |
| title_short | Stochastic integration and one class of Gaussian random processes |
| title_sort | stochastic integration and one class of gaussian random processes |
| url | https://umj.imath.kiev.ua/index.php/umj/article/view/4918 |
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