Work

A note on stochastic integrals as $L^2$-curves

Year: 2019

Type: preprint

Abstract: In a work of van Gaans (2005a) stochastic integrals are regarded as $L^2$-curves. In Filipović and Tappe (2008) we have shown the connection to the usual Itô-integral for càdlàg-integrands. The goal of this note is to complete this result and to provide the full connection to the Itô-integral. We also sketch an application to stochastic partial differential equations.

Source: arXiv (Cornell University)

DOI: 10.48550/arxiv.1907.03258

Author: Tappe, Stefan

Institution: ETH Zurich

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

Funder: Vienna Science and Technology Fund

OpenAlex ID: W2953431765

Cites: 9

Cited by:

Related to: 20