In the framework of Riesz space-valued functions, a suitable definition of a Stieltjes-type integral is introduced, with respect to an abstract notion of convergence. Starting from an existence theorem of the Kondurar type, some generalized versions of the well-known Ito formula for stochastic processes are deduced, and possible applications are presented.
Ito formula in Riesz spaces
BOCCUTO, Antonio;CANDELORO, Domenico
2004
Abstract
In the framework of Riesz space-valued functions, a suitable definition of a Stieltjes-type integral is introduced, with respect to an abstract notion of convergence. Starting from an existence theorem of the Kondurar type, some generalized versions of the well-known Ito formula for stochastic processes are deduced, and possible applications are presented.File in questo prodotto:
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