A Fubini Theorem for Iterated Stochastic Integrals.

Abstract

This report extends the stochastic integral of Ito to allow for a certain class of anticipating integrals. Probabilistic and computational results concerning this extension are presented and iterated integrals are discussed. The motivation for this extension stems from the Ito-Volterra equation. This equation arises from feedback in the presence of white noise, and cannot be inverted using classical stochastic integrals. The inversion involving the extended integrals appears at the end of the report. (Author)

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Document Details

Document Type
Technical Report
Publication Date
Feb 01, 1978
Accession Number
ADA054545

Entities

People

  • Marc A. Berger

Organizations

  • University of Wisconsin–Madison

Tags

Communities of Interest

  • Materials and Manufacturing Processes

DTIC Thesaurus Topics

  • Brownian Motion
  • Calculus
  • Closed Loop Systems
  • Continuity
  • Convergence
  • Decomposition
  • Equations
  • Integrals
  • Mathematics
  • New York
  • Noise
  • Probability
  • Sequences
  • Stochastic Processes
  • United States
  • Volterra Equations
  • White Noise

Fields of Study

  • Mathematics

Readers

  • Calculus or Mathematical Analysis
  • Mathematical Modeling and Probability Theory.