The Pure and Applied Mathematics (한국수학교육학회지시리즈B:순수및응용수학)
- Volume 14 Issue 4
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- Pages.335-354
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- 2007
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- 1226-0657(pISSN)
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- 2287-6081(eISSN)
STOCHASTIC CALCULUS FOR ANALOGUE OF WIENER PROCESS
- Im, Man-Kyu (DEPARTMENT OF MATHEMATICS, HANNAM UNIVERSITY) ;
- Kim, Jae-Hee (DEPARTMENT OF MATHEMATICS, HANNAM UNIVERSITY)
- Published : 2007.11.30
Abstract
In this paper, we define an analogue of generalized Wiener measure and investigate its basic properties. We define (
Keywords
- generalized Wiener process;
- stochastic integral;
- ${\hat}It{o}$ formula;
- stochastic differential equation;
- linear filtering