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Matematicheskie Trudy, 2012, Volume 15, Number 2, Pages 37–71 (Mi mt238)  
This article is cited in 1 scientific paper (total in 1 paper)

Constructing multiple stochastic integrals on non-Gaussian product measures

I. S. Borisovab, S. E. Khrushchevb

a Novosibirsk State University, Novosibirsk, Russia
b Sobolev Institute of Mathematics, Siberian Branch of the Russian Academy of Sciences, Novosibirsk, Russia
Full-text PDF (327 kB) Citations (1)
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Abstract: We study a construction of multiple stochastic integrals of nonrandom functions with respect to the product measures generated by stochastic processes admitting representations as multiple orthogonal random series. This construction is compared with some classical schemes of constructing stochastic integrals of such a kind.
Key words: multiple stochastic integral, multiple orthogonal series, Hilbert-space-valued stochastic process, expansions of stochastic processes via orthogonal series.
Received: 03.06.2012
English version:
Siberian Advances in Mathematics, 2014, Volume 24, Issue 2, Pages 75–99
DOI: https://doi.org/10.3103/S1055134414020011
Bibliographic databases:
Document Type: Article
UDC: 519.21
Language: Russian
Citation: I. S. Borisov, S. E. Khrushchev, “Constructing multiple stochastic integrals on non-Gaussian product measures”, Mat. Tr., 15:2 (2012), 37–71; Siberian Adv. Math., 24:2 (2014), 75–99
Citation in format AMSBIB
\Bibitem{BorKhr12}
\by I.~S.~Borisov, S.~E.~Khrushchev
\paper Constructing multiple stochastic integrals on non-Gaussian product measures
\jour Mat. Tr.
\yr 2012
\vol 15
\issue 2
\pages 37--71
\mathnet{http://mi.mathnet.ru/mt238}
\mathscinet{http://mathscinet.ams.org/mathscinet-getitem?mr=3074454}
\elib{https://elibrary.ru/item.asp?id=18076202}
\transl
\jour Siberian Adv. Math.
\yr 2014
\vol 24
\issue 2
\pages 75--99
\crossref{https://doi.org/10.3103/S1055134414020011}
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  • https://www.mathnet.ru/eng/mt238
  • https://www.mathnet.ru/eng/mt/v15/i2/p37
    • This publication is cited in the following 1 articles:
    1. I. S. Borisov, S. E. Khrushchev, “Multiple stochastic integrals constructed by special expansions of products of the integrating stochastic processes”, Siberian Adv. Math., 26:1 (2016), 1–16  mathnet  crossref  mathscinet
    Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
    		Математические труды Siberian Advances in Mathematics
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    Full-text PDF :183
    References:102
    First page:8
     
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