Progressive Stochastic Processes and an Application to the Itô Integral

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URL:	https://ub-madoc.bib.uni-mannheim.de/1610
URN:	urn:nbn:de:bsz:180-madoc-16105
Document Type:	Working paper
Year of publication:	2001
The title of a journal, publication series:	None
Publication language:	English
Institution:	School of Business Informatics and Mathematics > Sonstige - Fakultät für Wirtschaftsinformatik und Wirtschaftsmathematik
MADOC publication series:	Veröffentlichungen der Fakultät für Mathematik und Informatik > Institut für Mathematik > Mannheimer Manuskripte
Subject:	510 Mathematics
Subject headings (SWD):	Wiener-Itô-Integral , Brownsche Bewegung , Stochastischer Prozess
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.
Additional information:	Seite 4 und Seite 16 fehlen im Vorlage-Dokument!