Semimartingales. I. Stochastic Integral

1989 ◽  
pp. 85-149
Author(s):  
R. Sh. Liptser ◽  
A. N. Shiryayev
Keyword(s):  
Stochastic Integral

scholarly journals Fuzzy stochastic differential equations driven by fractional Brownian motion

2021 ◽  
Vol 2021 (1) ◽  
Author(s):  
Hossein Jafari ◽  
Marek T. Malinowski ◽  
M. J. Ebadi
Keyword(s):  
Brownian Motion ◽  
Differential Equations ◽  
Stochastic Differential Equations ◽  
Fractional Brownian Motion ◽  
Approximation Method ◽  
Existence And Uniqueness ◽  
Financial Models ◽  
Stochastic Integral ◽  
Long Range Dependence ◽  
World Systems

AbstractIn this paper, we consider fuzzy stochastic differential equations (FSDEs) driven by fractional Brownian motion (fBm). These equations can be applied in hybrid real-world systems, including randomness, fuzziness and long-range dependence. Under some assumptions on the coefficients, we follow an approximation method to the fractional stochastic integral to study the existence and uniqueness of the solutions. As an example, in financial models, we obtain the solution for an equation with linear coefficients.

scholarly journals Existence of Solutions of Nonlinear Stochastic Volterra Fredholm Integral Equations of Mixed Type

2010 ◽  
Vol 2010 ◽  
pp. 1-16 ◽  
Author(s):  
K. Balachandran ◽  
J.-H. Kim
Keyword(s):  
Integral Equations ◽  
Existence And Uniqueness ◽  
Mixed Type ◽  
Fixed Point Theorems ◽  
Existence Of Solutions ◽  
Stochastic Integral ◽  
Sufficient Conditions ◽  
Fredholm Integral Equations ◽  
Equations Of Mixed Type ◽  
Stochastic Integral Equations

We establish sufficient conditions for the existence and uniqueness of random solutions of nonlinear Volterra-Fredholm stochastic integral equations of mixed type by using admissibility theory and fixed point theorems. The results obtained in this paper generalize the results of several papers.

New variable martingale Hardy spaces

2021 ◽  
pp. 1-29
Author(s):  
Yong Jiao ◽  
Dan Zeng ◽  
Dejian Zhou
Keyword(s):  
Brownian Motion ◽  
Hardy Space ◽  
Hardy Spaces ◽  
Stochastic Integral ◽  
Lebesgue Spaces ◽  
Type Space ◽  
Variable Lebesgue Spaces ◽  
Martingale Inequalities

We investigate various variable martingale Hardy spaces corresponding to variable Lebesgue spaces $\mathcal {L}_{p(\cdot )}$ defined by rearrangement functions. In particular, we show that the dual of martingale variable Hardy space $\mathcal {H}_{p(\cdot )}^{s}$ with $0<p_{-}\leq p_{+}\leq 1$ can be described as a BMO-type space and establish martingale inequalities among these martingale Hardy spaces. Furthermore, we give an application of martingale inequalities in stochastic integral with Brownian motion.

scholarly journals On the generalized riemann integral and stochastic integral

1976 ◽  
Vol 21 (1) ◽  
pp. 64-71 ◽  
Author(s):  
Tack-Wang Lee
Keyword(s):  
Stochastic Integral ◽  
Wiener Measure ◽  
Riemann Integral ◽  
Set Up

In Lee (submitted), the GW-integral (the generalized Riemann integral using Wiener measure) is defined. The object of this article is to define stochastic integral in the set up given in Lee (submitted). We also investigate the connection between the stochastic integral defined with the Legesgue counter part, the Paley-Wiener-Zygmund integral in Paley, Weiner and Zygmund (1933). Applications of the stochastic integral will be explained elsewhere.

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