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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