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JOURNALS // Vestnik TVGU. Seriya: Prikladnaya Matematika [Herald of Tver State University. Series: Applied Mathematics] // Archive
Vestnik TVGU. Ser. Prikl. Matem. [Herald of Tver State University. Ser. Appl. Math.], 2011, Issue 20, Pages 125–130 (Mi vtpmk249)
Probabilistic-statistical models

Canonical representations of Hilbert-valued semimartingales

V. V. Lavrentyev

Lomonosov Moscow State University, Faculty of Computational Mathematics and Cybernetics

Abstract: In this paper we derive a canonical decomposition for Hilbert-valued semimartingales with stochastic integrals.

Keywords: semimartingale, Hilbert space, triplet of local characteristics.

UDC: 519.216.8

Received: 24.02.2011
Revised: 02.03.2011



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