Mean value theorems for stochastic integrals

• 成果类型: Article
• 署名作者: Krylov, NV
• 署名单位: University of Minnesota System; University of Minnesota Twin Cities
• 刊物名称: ANNALS OF PROBABILITY
• ISSN/ISSBN: 0091-1798
• DOI: 10.1214/aop/1008956335
• 发表日期: 2001
• 页码: 385-410
• 关键词: equations

摘要

The distributions of stochastic integrals are approximated by the distributions of stochastic integrals of piece-wise constant processes. The rate of approximation in some negative Sobolev spaces is estimated. Generalizations are given for problems arising in control theory.