Generalized integration and stochastic ODEs

• 成果类型: Article
• 署名作者: Flandoli, F; Russo, F
• 署名单位: University of Pisa; Universite Paris 13
• 刊物名称: ANNALS OF PROBABILITY
• ISSN/ISSBN: 0091-1798
• 发表日期: 2002
• 页码: 270-292
• 关键词: ito formula; differential-equations

摘要

Stochastic forward integrals for processes more general than semimartingales are shown to exist, generalized forms of Ito-Wentzell formula and covariation formula are proved, and one-dimensional stochastic equations driven by finite quadratic variation processes and semimartingales are solved. This generalized stochastic calculus is motivated by applications to uniqueness and dependence on parameters for stochastic equations with nonregular drift.