Abstract
We propose a generalization of an extended stochastic integral to the case of integration with respect to a broad class of random processes. In particular, we obtain conditions for the coincidence of the considered integral with the classical Itô stochastic integral.
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Published in Ukrains’kyi Matematychnyi Zhurnal, Vol. 59, No. 5, pp. 588–617, May, 2007.
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Albeverio, S., Berezansky, Y.M. & Tesko, V.A. A generalization of an extended stochastic integral. Ukr Math J 59, 645–677 (2007). https://doi.org/10.1007/s11253-007-0044-x
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DOI: https://doi.org/10.1007/s11253-007-0044-x