English

Stratonovich-type integral with respect to a general stochastic measure

Probability 2024-07-23 v1

Abstract

Let μ\mu be a general stochastic measure, where we assume for μ\mu only σ\sigma-additivity in probability and continuity of paths. We prove that the symmetric integral [0,T]f(μt,t)dμt\int_{[0,T]}f(\mu_t, t)\circ\,{\rm d}\mu_t is well defined. For stochastic equations with this integral, we obtain the existence and uniqueness of a solution.

Keywords

Cite

@article{arxiv.1606.05792,
  title  = {Stratonovich-type integral with respect to a general stochastic measure},
  author = {Vadym Radchenko},
  journal= {arXiv preprint arXiv:1606.05792},
  year   = {2024}
}

Comments

Stochastics: An International Journal of Probability and Stochastic Processes, 2016

R2 v1 2026-06-22T14:28:35.025Z