Itô-Henstock integral and Itô's formula for the operator-valued stochastic process

Mhelmar A. Labendia; Timothy Robin Y. Teng; Elvira P. de Lara-Tuprio

Mathematica Bohemica (2018)

  • Volume: 143, Issue: 2, page 135-160
  • ISSN: 0862-7959

Abstract

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In this paper, we introduce the Itô-Henstock integral of an operator-valued stochastic process and formulate a version of Itô's formula.

How to cite

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Labendia, Mhelmar A., Teng, Timothy Robin Y., and de Lara-Tuprio, Elvira P.. "Itô-Henstock integral and Itô's formula for the operator-valued stochastic process." Mathematica Bohemica 143.2 (2018): 135-160. <http://eudml.org/doc/294338>.

@article{Labendia2018,
abstract = {In this paper, we introduce the Itô-Henstock integral of an operator-valued stochastic process and formulate a version of Itô's formula.},
author = {Labendia, Mhelmar A., Teng, Timothy Robin Y., de Lara-Tuprio, Elvira P.},
journal = {Mathematica Bohemica},
keywords = {Itô-Henstock integrable function; Itô’s formula; $Q$-Wiener process},
language = {eng},
number = {2},
pages = {135-160},
publisher = {Institute of Mathematics, Academy of Sciences of the Czech Republic},
title = {Itô-Henstock integral and Itô's formula for the operator-valued stochastic process},
url = {http://eudml.org/doc/294338},
volume = {143},
year = {2018},
}

TY - JOUR
AU - Labendia, Mhelmar A.
AU - Teng, Timothy Robin Y.
AU - de Lara-Tuprio, Elvira P.
TI - Itô-Henstock integral and Itô's formula for the operator-valued stochastic process
JO - Mathematica Bohemica
PY - 2018
PB - Institute of Mathematics, Academy of Sciences of the Czech Republic
VL - 143
IS - 2
SP - 135
EP - 160
AB - In this paper, we introduce the Itô-Henstock integral of an operator-valued stochastic process and formulate a version of Itô's formula.
LA - eng
KW - Itô-Henstock integrable function; Itô’s formula; $Q$-Wiener process
UR - http://eudml.org/doc/294338
ER -

References

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