Stochastic Integrals and Differential Measures

descriptionPublicationkeyboard_double_arrow_right Article 01 Jan 1988 English Publisher:Society for Industrial & Applied Mathematics (SIAM)Journal:Theory of Probability & Its Applications, volume 32, pages 107-116 (issn: 0040-585X, eissn: 1095-7219,

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Authors: Norin, N. V.;

doi: 10.1137/1132010

Stochastic Integrals and Differential Measures

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Abstract

The description of the class of measures with square integrable logarithmic derivative along a vector field and an operator field is obtained. This derivative coincides with an extended stochastic integral in the Gaussian case. The proofs are based on integration by parts.

Keywords

logarithmic derivative, operator field, Stochastic integrals, Set functions and measures and integrals in infinite-dimensional spaces (Wiener measure, Gaussian measure, etc.), extended stochastic integral

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