Stochastic Integration with respect to Volterra processes

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dc.creatorDecreusefond, L.
dc.date2003-02-05
dc.date.accessioned2026-07-07T04:54:55Z
dc.date.available2026-07-07T04:54:55Z
dc.descriptionWe construct the basis of a stochastic calculus for so-called Volterra processes, i.e., processes which are defined as the stochastic integral of a time-dependent kernel with respect to a standard Brownian motion. For these processes which are natural generalization of fractional Brownian motion, we construct a stochastic integral and show some of its main properties: regularity with respect to time and kernel, transformation under an absolutely continuous change of probability, possible approximation schemes and Ito formula.
dc.identifierhttps://arxiv.org/abs/math/0302047
dc.identifierhttp://arxiv.org/abs/math/0302047
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/66445
dc.subjectProbability
dc.subject60H07
dc.titleStochastic Integration with respect to Volterra processes
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