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On the Original Wiener–Itô Integral

  • Péter Major
Chapter
Part of the Lecture Notes in Mathematics book series (LNM, volume 849)

Abstract

Here we discuss the original Wiener–Itô integrals with respect to a random orthogonal measure. We give their most important properties and also present some results about their relation to the Wiener–Itô integrals with respect to a random spectral measure and to the classical Itô integrals of stochastic processes.

Keywords

White Noise Lebesgue Measure Measure Space Simple Function Unitary Transformation 
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References

  1. 19.
    Itô, K.: Multiple Wiener integral. J. Math. Soc. Jpn. 3, 157–164 (1951)CrossRefzbMATHGoogle Scholar

Copyright information

© Springer International Publishing Switzerland 2014

Authors and Affiliations

  • Péter Major
    • 1
  1. 1.Alfréd Rényi Mathematical Institute Hungarian Academy of SciencesBudapestHungary

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