RUS  ENG
Full version
JOURNALS // Problemy Fiziki, Matematiki i Tekhniki (Problems of Physics, Mathematics and Technics) // Archive

PFMT, 2011 Issue 3(8), Pages 50–56 (Mi pfmt110)

MATHEMATICS

Generalized stochastic integral with respect to continuous martingale

N. V. Bedziuk

Belarusian State University, Minsk

Abstract: Stochastic integral with respect to continuous martingale is considered in the algebra of generalized stochastic processes. The sufficient conditions when the above generalized stochastic process associates an ordinary stochastic process are formulated. The explicit form of the ordinary stochastic process is described.

Keywords: algebra of generalized stochastic processes, martingale, stochastic integral.

UDC: 519.21

Received: 26.04.2011



© Steklov Math. Inst. of RAS, 2024