A kind of Stieltjes integral is defined, for a real-valued function f with respect to a continuous real-valued function g, without any assumption of bounded variation. The procedure is inspired at Caccioppoli's integral, with some minor corrections, and is then applied to define a pathwise integral when g is any trajectory of Brownian Motion. A comparison with the Ito ad the Stratonovich stochastic integrals is given.
Integration with respect to functions of unbounded variations
CANDELORO, Domenico
2002
Abstract
A kind of Stieltjes integral is defined, for a real-valued function f with respect to a continuous real-valued function g, without any assumption of bounded variation. The procedure is inspired at Caccioppoli's integral, with some minor corrections, and is then applied to define a pathwise integral when g is any trajectory of Brownian Motion. A comparison with the Ito ad the Stratonovich stochastic integrals is given.File in questo prodotto:
Non ci sono file associati a questo prodotto.
I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
