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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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Bibliographic Details
Date:	1998
Main Authors:	Dorogovtsev, A. A., Дороговцев, А. А.
Format:	Article
Language:	Russian English
Published:	Institute of Mathematics, NAS of Ukraine 1998
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

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