Progressive stochastic processes and an application to the Itô integral

Kaden, Svenja ; Potthoff, Jürgen

Document Type: Article
Year of publication: 2004
The title of a journal, publication series: Stochastic Analysis and Applications
Volume: 22
Issue number: 4
Page range: 843-865
Place of publication: Philadelphia, Pa. [u.a.]
Publishing house: Taylor & Francis
ISSN: 0736-2994
Publication language: English
Institution: School of Business Informatics and Mathematics > Mathematik V (Potthoff)
Subject: 510 Mathematics
Classification: MSC: 60G07 , 60H05,
Keywords (English): Itô integral , adapted stochastic process , progressively measurable stochastic process , approximation of stochastic processes
Abstract: An elementary proof of the theorem of Chung–Doob–Meyer on the existence of a progressively measurable modification of a measurable adapted process is given. It is shown how this result can be applied to the construction of the Itô integral with respect to a Brownian motion.

Dieser Eintrag ist Teil der Universitätsbibliographie.

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