Mathematics – Probability
Scientific paper
2011-09-06
Mathematics
Probability
Improved version
Scientific paper
Given a Gaussian stationary increment processes with spectral density, we show that a Wick-Ito integral with respect to this process can be naturally obtained using Hida's white noise space theory. We use the Bochner-Minlos theorem to associate a probability space to the process, and define the counterpart of the S-transform in this space. We then use this transform to define the stochastic integral and prove an associated Ito formula.
Alpay Daniel
Kipnis Alon
No associations
LandOfFree
Stochastic integration for a wide class of Gaussian stationary increment processes using an extension of the S-transform does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.
If you have personal experience with Stochastic integration for a wide class of Gaussian stationary increment processes using an extension of the S-transform, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Stochastic integration for a wide class of Gaussian stationary increment processes using an extension of the S-transform will most certainly appreciate the feedback.
Profile ID: LFWR-SCP-O-93030