Acta mathematica scientia,Series B ›› 1993, Vol. 13 ›› Issue (2): 153-166.
• Articles • Previous Articles Next Articles
Hu Yaozhong, Long Hongwei
Received:
Online:
Published:
Supported by:
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.
Hu Yaozhong, Long Hongwei. SYMMETRIC INTEGRAL AND THE APPROXIMATION THEOREM OF STOCHASTIC INTEGRAL IN THE PLANE[J].Acta mathematica scientia,Series B, 1993, 13(2): 153-166.
0 / / Recommend
Add to citation manager EndNote|Reference Manager|ProCite|BibTeX|RefWorks
URL: http://121.43.60.238/sxwlxbB/EN/
http://121.43.60.238/sxwlxbB/EN/Y1993/V13/I2/153
Cited