Stochastic Integrals and Processes with Independent Increments.

Abstract

Stochastic integrals are defined using processes with independent increments as integrators. A simple and perhaps new method is given for obtaining approximating simple integrands. In the special case where the integrand is a stable motion of index p epsilon the integrand may have paths in Lp. Basic properties are established. Then the characteristic functions of integrals involving nonrandom integrands are computed and used to establish necessary and sufficient conditions for the independence of such integrals. Additional keywords: Stochastically continous processes; and Brownian motion. (Author)

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Document Details

Document Type
Technical Report
Publication Date
Mar 01, 1985
Accession Number
ADA158939

Entities

People

  • W. N. Hudson

Organizations

  • University of North Carolina at Chapel Hill

Tags

Communities of Interest

  • Materials and Manufacturing Processes

DTIC Thesaurus Topics

  • Air Force
  • Classification
  • Equations
  • Integrals
  • North Carolina
  • Numbers
  • Probability
  • Random Variables
  • Real Numbers
  • Scientific Research
  • Security
  • Sequences
  • Statistics
  • Step Functions
  • Stochastic Processes
  • Theorems
  • Two Dimensional

Fields of Study

  • Mathematics

Readers

  • Calculus or Mathematical Analysis
  • Regression Analysis.