Progressive Stochastic Processes and an Application to the Itô Integral

Kaden, Svenja ; Potthoff, Jürgen

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URN: urn:nbn:de:bsz:180-madoc-16105
Document Type: Working paper
Year of publication: 2001
Publication language: English
Institution: School of Business Informatics and Mathematics > Sonstige - Fakultät für Mathematik und Informatik
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.
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Kaden, Svenja ; Potthoff, Jürgen (2001) Progressive Stochastic Processes and an Application to the Itô Integral. Open Access [Working paper]

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