Stochastic Integrals for Processes with Covariance

Abstract

The report extends the notion of the stochastic integral. The integrand is taken to be a deterministic function belonging to one or more integrated Lipschitz classes; the stochastic process, with respect to which one integrates is one for which the covariance between non-overlapping fine intervals, and that between an interval and itself, are subject to certain inequalities.

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Document Details

Document Type
Technical Report
Publication Date
Sep 01, 1968
Accession Number
AD0689432

Entities

People

  • L. C. Young

Organizations

  • University of Wisconsin–Madison

Tags

Communities of Interest

  • Materials and Manufacturing Processes

DTIC Thesaurus Topics

  • Contracts
  • Covariance
  • Hilbert Space
  • Inequalities
  • Integrals
  • Intervals
  • Mathematics
  • Principle Of Superposition
  • Probability
  • Real Numbers
  • Step Functions
  • Stochastic Processes
  • Theorems
  • Time Intervals
  • United States
  • Universities
  • Wisconsin

Fields of Study

  • Mathematics

Readers

  • Approximation Theory.
  • Mathematical Modeling and Probability Theory.