Stochastic integration for set-indexed processes

Ely Merzbach, Diane Saada

Research output: Contribution to journalArticlepeer-review

4 Scopus citations

Abstract

In this paper, we are concerned with the construction of a stochastic integral, when the integrator is a set-indexed stochastic process. For this purpose, we adopt Blei's point of view and we get this integral by means of the bimeasure he introduced. This enables us to enlarge the class of integrators. Here, the integral is first defined for point-indexed integrands and later for set-indexed ones. Then we generalize this definition to local processes.

Original languageEnglish
Pages (from-to)157-181
Number of pages25
JournalIsrael Journal of Mathematics
Volume118
DOIs
StatePublished - 2000

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