Stochastic integration with respect to a stochastic integral

1997 ◽  
Vol 15 (5) ◽  
pp. 701-721
Author(s):  
Nicolae Dinculeanu
Keyword(s):  
Stochastic Integral ◽  
Stochastic Integration

AN EXTENDED STOCHASTIC INTEGRAL AND A WICK CALCULUS ON PARAMETRIZED KONDRATIEV-TYPE SPACES OF MEIXNER WHITE NOISE

2008 ◽  
Vol 11 (04) ◽  
pp. 541-564 ◽  
Author(s):  
N. A. KACHANOVSKY
Keyword(s):  
White Noise ◽  
Stochastic Equation ◽  
Stochastic Integral ◽  
Holomorphic Functions ◽  
Generalized Functions ◽  
Wick Product ◽  
Stochastic Integration ◽  
Type Spaces ◽  
Wick Calculus

Using a general approach that covers the cases of Gaussian, Poissonian, Gamma, Pascal and Meixner measures, we consider an extended stochastic integral and construct elements of a Wick calculus on parametrized Kondratiev-type spaces of generalized functions; consider the interconnection between the extended stochastic integration and the Wick calculus; and give an example of a stochastic equation with a Wick-type nonlinearity. The main results consist of studying the properties of the extended (Skorohod) stichastic integral subject to the particular spaces under consideration; and of studying the properties of a Wick product and Wick versions of holomorphic functions on the parametrized Kondratiev-type spaces. These results are necessary, in particular, in order to describe properties of solutions of normally ordered white noise equations in the "Meixner analysis".

scholarly journals Stochastic Integration with Respect to Cylindrical Lévy Processes by p-Summing Operators

2020 ◽  
Author(s):  
Tomasz Kosmala ◽  
Markus Riedle
Keyword(s):  
Evolution Equation ◽  
Banach Spaces ◽  
Lévy Processes ◽  
Stochastic Integral ◽  
Levy Processes ◽  
Integration Theory ◽  
Stochastic Evolution Equation ◽  
Stochastic Integration ◽  
Stochastic Evolution ◽  
Existence Of A Solution

AbstractWe introduce a stochastic integral with respect to cylindrical Lévy processes with finite p-th weak moment for $$p\in [1,2]$$p∈[1,2]. The space of integrands consists of p-summing operators between Banach spaces of martingale type p. We apply the developed integration theory to establish the existence of a solution for a stochastic evolution equation driven by a cylindrical Lévy process.

On Delayed Logistic Equation Driven by Fractional Brownian Motion

2012 ◽  
Vol 7 (3) ◽  
Author(s):  
Nguyen Tien Dung
Keyword(s):  
Brownian Motion ◽  
Fractional Brownian Motion ◽  
Approximate Method ◽  
Explicit Expression ◽  
Stochastic Integral ◽  
Logistic Equation ◽  
The Other ◽  
Stochastic Integration

In this paper we use the fractional stochastic integral given by Carmona et al. (2003, “Stochastic Integration With Respect to Fractional Brownian Motion,” Ann. I.H.P. Probab. Stat., 39(1), pp. 27–68) to study a delayed logistic equation driven by fractional Brownian motion which is a generalization of the classical delayed logistic equation. We introduce an approximate method to find the explicit expression for the solution. Our proposed method can also be applied to the other models and to illustrate this, two models in physiology are discussed.

scholarly journals Stochastic Integration in Abstract Spaces

2010 ◽  
Vol 2010 ◽  
pp. 1-7
Author(s):  
J. K. Brooks ◽  
J. T. Kozinski
Keyword(s):  
Stochastic Integral ◽  
Nuclear Space ◽  
Locally Convex Spaces ◽  
Stochastic Integration ◽  
Predictable Process ◽  
Bilinear Mapping ◽  
Integrable Martingale ◽  
Nuclear Spaces ◽  
Abstract Spaces ◽  
Locally Convex

We establish the existence of a stochastic integral in a nuclear space setting as follows. Let , , and be nuclear spaces which satisfy the following conditions: the spaces are reflexive, complete, bornological spaces such that their strong duals also satisfy these conditions. Assume that there is a continuous bilinear mapping of into . If is an integrable, -valued predictable process and is an -valued square integrable martingale, then there exists a -valued process called the stochastic integral. The Lebesgue space of these integrable processes is studied and convergence theorems are given. Extensions to general locally convex spaces are presented.

scholarly journals SPDEs with α-Stable Lévy Noise: A Random Field Approach

2014 ◽  
Vol 2014 ◽  
pp. 1-22 ◽  
Author(s):  
Raluca M. Balan
Keyword(s):  
Dirichlet Boundary ◽  
Stochastic Integral ◽  
Initial Conditions ◽  
Stopping Times ◽  
Lévy Noise ◽  
Stochastic Integration ◽  
Major Step ◽  
Field Approach ◽  
Similar Idea ◽  
Levy Noise

This paper is dedicated to the study of a nonlinear SPDE on a bounded domain in Rd, with zero initial conditions and Dirichlet boundary, driven by an α-stable Lévy noise Z with α∈(0,2), α≠1, and possibly nonsymmetric tails. To give a meaning to the concept of solution, we develop a theory of stochastic integration with respect to this noise. The idea is to first solve the equation with “truncated” noise (obtained by removing from Z the jumps which exceed a fixed value K), yielding a solution uK, and then show that the solutions uL,L>K coincide on the event t≤τK, for some stopping times τK converging to infinity. A similar idea was used in the setting of Hilbert-space valued processes. A major step is to show that the stochastic integral with respect to ZK satisfies a pth moment inequality. This inequality plays the same role as the Burkholder-Davis-Gundy inequality in the theory of integration with respect to continuous martingales.

scholarly journals The Itô Integral with respect to an Infinite Dimensional Lévy Process: A Series Approach

2013 ◽  
Vol 2013 ◽  
pp. 1-14 ◽  
Author(s):  
Stefan Tappe
Keyword(s):  
Hilbert Space ◽  
Lévy Process ◽  
Stochastic Integral ◽  
Levy Processes ◽  
Levy Process ◽  
Stochastic Integration ◽  
Itô Integral ◽  
Infinite Dimensional ◽  
Ito Integral ◽  
Alternative Construction

We present an alternative construction of the infinite dimensional Itô integral with respect to a Hilbert space valued Lévy process. This approach is based on the well-known theory of real-valued stochastic integration, and the respective Itô integral is given by a series of Itô integrals with respect to standard Lévy processes. We also prove that this stochastic integral coincides with the Itô integral that has been developed in the literature.

scholarly journals STOCHASTIC INTEGRATION WITH RESPECT TO THE CYLINDRICAL WIENER PROCESS VIA REGULARIZATION

2013 ◽  
Vol 16 (03) ◽  
pp. 1350024 ◽  
Author(s):  
CHRISTIAN OLIVERA
Keyword(s):  
Wiener Process ◽  
Stochastic Integral ◽  
Existence Of Solution ◽  
Stochastic Integration ◽  
Cylindrical Wiener Process ◽  
Classical Integral

Following the ideas of F. Russo and P. Vallois, we use the notion of forward integral to introduce a new stochastic integral respect to the cylindrical Wiener process. This integral is an extension of the classical integral. As an application, we prove existence of solution of a parabolic stochastic differential partial equation with anticipating stochastic initial date.

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.

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