Stochastic integrals for gaussian random functions
- 1 January 1980
- journal article
- research article
- Published by Taylor & Francis in Stochastics
- Vol. 3 (1-4), 277-289
- https://doi.org/10.1080/17442508008833151
Abstract
A construction of stochastic integrals Jl,, f dX is given where Fand X are random processes. Conditions of martingale type for X and nonanticipating of f with respect to X are not assumed. We suppose that f;, X are Gaussian processes, all other conditions are expressed in terms of the covariance functions off and X.Keywords
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