[KSCI] Korea Science Citation Index Service

Ryu, Kun Sik (Department of Mathematics Education Hannam University)

Publication Information

Abstract

In this note, we define the It $\hat{o}$ integral with respect to analogue of Wiener process and investigate its various properties and examples.

Keywords

analogue of Wiener measure space; It $\hat{o}$ integral; It $\hat{o}$ formula; martingale;

Citations & Related Records

1	R. Durrett, Probability : Theory and Examples, 2nd edition, Duxbury Press, 1996.
2	T. C. Gard, Introduction to Stochastic Differential Equations, MARCEL DEKKER, INC., 1988.
3	K. Ito, Differential equations determining Markov processes, Zenkoku Shijo Danwakai, 1942.
4	F. C. Klebaner, Introduction to Stochastic Calculus with Applications, Imperial College Press, 1998.
5	L. C. G. Rogers and D. Williams, Diffusions , Markov Processes and Martingales, Volume 2 : Ito Calculus, John Wiley & Sons, 1987.
6	K. S. Ryu and M. K. Im, A measure-valued analogue of Wiener measure and the measure-valued Feynman-Kac formula, Trans. Amer. Math. Soc. 354 (2002), 4921-4951. DOI ScienceOn

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