A generalization of the Itô formula
The classical Itô formula is generalized to some anticipating processes. The processes we consider are in a Sobolev space which is a subset of the space of square integrable functions over a white noise space. The proof of the result uses white noise techniques.
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| Format: | Article |
| Language: | English |
| Published: |
Wiley
2002-01-01
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| Series: | International Journal of Mathematics and Mathematical Sciences |
| Online Access: | http://dx.doi.org/10.1155/S0161171202102018 |
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| _version_ | 1832561318220005376 |
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| author | Said Ngobi |
| author_facet | Said Ngobi |
| author_sort | Said Ngobi |
| collection | DOAJ |
| description | The classical Itô formula is generalized to some anticipating
processes. The processes we consider are in a Sobolev space which
is a subset of the space of square integrable functions over a
white noise space. The proof of the result uses white noise
techniques. |
| format | Article |
| id | doaj-art-cd813fc508cf4d71aa6881b4739ea5b5 |
| institution | Kabale University |
| issn | 0161-1712 1687-0425 |
| language | English |
| publishDate | 2002-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | International Journal of Mathematics and Mathematical Sciences |
| spelling | doaj-art-cd813fc508cf4d71aa6881b4739ea5b52025-02-03T01:25:28ZengWileyInternational Journal of Mathematics and Mathematical Sciences0161-17121687-04252002-01-0131847749610.1155/S0161171202102018A generalization of the Itô formulaSaid Ngobi0Alabama State University, Box 161, Montgomery 36101, AL, USAThe classical Itô formula is generalized to some anticipating processes. The processes we consider are in a Sobolev space which is a subset of the space of square integrable functions over a white noise space. The proof of the result uses white noise techniques.http://dx.doi.org/10.1155/S0161171202102018 |
| spellingShingle | Said Ngobi A generalization of the Itô formula International Journal of Mathematics and Mathematical Sciences |
| title | A generalization of the Itô formula |
| title_full | A generalization of the Itô formula |
| title_fullStr | A generalization of the Itô formula |
| title_full_unstemmed | A generalization of the Itô formula |
| title_short | A generalization of the Itô formula |
| title_sort | generalization of the ito formula |
| url | http://dx.doi.org/10.1155/S0161171202102018 |
| work_keys_str_mv | AT saidngobi ageneralizationoftheitoformula AT saidngobi generalizationoftheitoformula |