Pathwise stochastic integrals and It\^o formula for multidimensional Gaussian processes

Zhe Chen; Lauri Viitasaari

Pathwise stochastic integrals and It\^o formula for multidimensional Gaussian processes

Probability 2014-11-25 v2

Authors: Zhe Chen , Lauri Viitasaari

Abstract

In this article we study existence of pathwise stochastic integrals with respect to a general class of $n$ -dimensional Gaussian processes and a wide class of adapted integrands. More precisely, we study integrands which are functions that are of locally bounded variation with respect to all variables. Moreover, multidimensional It\^o formula is derived.

Keywords

stochastic integrals gaussian processes stochastic processes

Cite

@article{arxiv.1401.4722,
  title  = {Pathwise stochastic integrals and It\^o formula for multidimensional Gaussian processes},
  author = {Zhe Chen and Lauri Viitasaari},
  journal= {arXiv preprint arXiv:1401.4722},
  year   = {2014}
}

Comments

This paper has been withdrawn by the author due to a false argument in the proof of Theorem 3.1

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