数学物理学报(英文版) ›› 1993, Vol. 13 ›› Issue (2): 153-166.

• 论文 • 上一篇    下一篇

SYMMETRIC INTEGRAL AND THE APPROXIMATION THEOREM OF STOCHASTIC INTEGRAL IN THE PLANE

胡耀忠, 龙红卫   

  1. Inst. of Math. Sci., Academia Sinica, Wuhan 430071, China
  • 收稿日期:1990-12-12 出版日期:1993-06-25 发布日期:1993-06-25
  • 基金资助:
    Work supported by National Natural Science Foundation of China.

SYMMETRIC INTEGRAL AND THE APPROXIMATION THEOREM OF STOCHASTIC INTEGRAL IN THE PLANE

Hu Yaozhong, Long Hongwei   

  1. Inst. of Math. Sci., Academia Sinica, Wuhan 430071, China
  • Received:1990-12-12 Online:1993-06-25 Published:1993-06-25
  • Supported by:
    Work supported by National Natural Science Foundation of China.

摘要: In this paper, we consider the approximation problem of stochastic integral with respect to two-parameter Wiener process. We first introduce a kind of symmetric integral and prove it obeys the chain rule. Then we apply an integral formula of bounded variation functions with two variables to show the approximation theorem of stochastic integral in the plane. In particular, we prove that the symmetric stochastic integral is stable when the limit is taken in the sense of L2 convergence.

Abstract: In this paper, we consider the approximation problem of stochastic integral with respect to two-parameter Wiener process. We first introduce a kind of symmetric integral and prove it obeys the chain rule. Then we apply an integral formula of bounded variation functions with two variables to show the approximation theorem of stochastic integral in the plane. In particular, we prove that the symmetric stochastic integral is stable when the limit is taken in the sense of L2 convergence.