Variations of random processes with independent increments

S. G. Bobkov

doi:10.1007/BF01850664

Variations of random processes with independent increments

S. G. Bobkov

School of Mathematics

Research output: Contribution to journal › Article › peer-review

1 Scopus citations

Abstract

In the paper one considers random processes ξ_so≤s≤t with independent increments, continuous in the mean (∀_P<∞). One establishes relations among multiple integrals, variations, i.e., the limits of sums of the form {Mathematical expression}, and the Itô stochastic integrals.

Original language	English (US)
Pages (from-to)	3181-3189
Number of pages	9
Journal	Journal of Soviet Mathematics
Volume	27
Issue number	6
DOIs	https://doi.org/10.1007/BF01850664
State	Published - Dec 1984

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10.1007/BF01850664

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title = "Variations of random processes with independent increments",

abstract = "In the paper one considers random processes ξso≤s≤t with independent increments, continuous in the mean (∀P<∞). One establishes relations among multiple integrals, variations, i.e., the limits of sums of the form \{Mathematical expression\}, and the It{\^o} stochastic integrals.",

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N2 - In the paper one considers random processes ξso≤s≤t with independent increments, continuous in the mean (∀P<∞). One establishes relations among multiple integrals, variations, i.e., the limits of sums of the form {Mathematical expression}, and the Itô stochastic integrals.

AB - In the paper one considers random processes ξso≤s≤t with independent increments, continuous in the mean (∀P<∞). One establishes relations among multiple integrals, variations, i.e., the limits of sums of the form {Mathematical expression}, and the Itô stochastic integrals.

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SP - 3181

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JO - Journal of Soviet Mathematics

JF - Journal of Soviet Mathematics

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ER -

Variations of random processes with independent increments

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